
handle: 2434/72305
Portfolio construction can become a very complicated problem, as regulatory constraints, individual investor's requirements, non-trivial indices of risk and subjective quality measures are taken into account, together with multiple investment horizons and cash-flow planning. This problem is approached using a tree of possible scenarios for the future, and an evolutionary algorithm is used to optimize an investment plan against the desired criteria and the possible scenarios. An application to a real de fined benefi t pension fund case is discussed.
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