Diverse committees vote for dependable profits

Stock selection for hedge fund portfolios is a challenging problem for Genetic Programming (GP) because the markets (the environment in which the GP solution must survive) are dynamic, unpredictable and unforgiving. How can GP be improved so that solutions are produced that are robust to non-trivial changes in the environment? We explore an approach that uses a voting committee of GP individuals with differing phenotypic behaviour. Categories and Subject Descriptors I.2.M [Artificial Intelligence]: Miscellaneous General Terms Algorithms, Experimentation Keywords Genetic Programming, Robustness, Committee, Diversity, Finance, Dynamic Environment

• Type: Conference
• Year: 2007
• Where: GECCO
• Authors: Wei Yan, Christopher D. Clack
• Keywords: GECCO 2007, Genetic Programming, GP Solution, Hedge Fund Portfolios, Optimization