Browsing NHH Brage by Subject "genetic programming"
Now showing items 1-3 of 3
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Hedging without sweat : a genetic programming approach
(Working paper;2013:5, Working paper, 2013)Hedging in the presence of transaction costs leads to complex op- timization problems. These problems typically lack closed-form so- lutions, and their implementation relies on numerical methods that provide hedging ... -
Hedging without sweat: a genetic programming approach
(Journal article; Peer reviewed, 2013-06-26)Hedging in the presence of transaction costs leads to complex optimization problems. These problems typically lack closed-form solutions, and their implementation relies on numerical methods that provide hedging strategies ... -
On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach
(Discussion paper, Working paper, 2006-12)This paper complements theoretical studies on the Kelly rule in evolutionary finance by studying a Darwinian model of selection and reproduction in which the diversity of investment strategies is maintained through genetic ...