Global asset allocation using XCS experts in country-specific ETFs

Wen Chih Tsai; An-Pin Chen

doi:10.1109/ICCIT.2008.418

Global asset allocation using XCS experts in country-specific ETFs

Wen Chih Tsai^*, An-Pin Chen

^*Corresponding author for this work

Institute of Information Management

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

3 Scopus citations

Abstract

There are several studies extended classification system (XCS) in past years, the model can dynamically learn and adapt to the change of environments for maximizing the desired goals. This paper conducts simulation the experiment to evolve XCS for global asset allocation in the country-specific Exchanged Traded Funds (ETFs). Since international stock price trend is influenced by unknown and unpredictable surrounding, using XCS to model the fluctuations on global financial market allows for the capability to discover the patterns of the future trends. The benefits of international diversification can be achieved with country-specific ETFs at a low cost, with a low transaction cost, tracking error and in a tax-efficient way. These empirical results indicate that XCS is capable of evolving from generation to generation, and in this way can provide the highest profit for future global asset allocation decision-making.

Original language	English
Title of host publication	Proceedings - 3rd International Conference on Convergence and Hybrid Information Technology, ICCIT 2008
Pages	1170-1176
Number of pages	7
DOIs	https://doi.org/10.1109/ICCIT.2008.418
State	Published - 29 Dec 2008
Event	3rd International Conference on Convergence and Hybrid Information Technology, ICCIT 2008 - Busan, Korea, Republic of Duration: 11 Nov 2008 → 13 Nov 2008

Publication series

Name	Proceedings - 3rd International Conference on Convergence and Hybrid Information Technology, ICCIT 2008
Volume	2

Conference

Conference	3rd International Conference on Convergence and Hybrid Information Technology, ICCIT 2008
Country	Korea, Republic of
City	Busan
Period	11/11/08 → 13/11/08

Access to Document

10.1109/ICCIT.2008.418

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Tsai, W. C., & Chen, A-P. (2008). Global asset allocation using XCS experts in country-specific ETFs. In Proceedings - 3rd International Conference on Convergence and Hybrid Information Technology, ICCIT 2008 (pp. 1170-1176). [4682406] (Proceedings - 3rd International Conference on Convergence and Hybrid Information Technology, ICCIT 2008; Vol. 2). https://doi.org/10.1109/ICCIT.2008.418

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title = "Global asset allocation using XCS experts in country-specific ETFs",

abstract = "There are several studies extended classification system (XCS) in past years, the model can dynamically learn and adapt to the change of environments for maximizing the desired goals. This paper conducts simulation the experiment to evolve XCS for global asset allocation in the country-specific Exchanged Traded Funds (ETFs). Since international stock price trend is influenced by unknown and unpredictable surrounding, using XCS to model the fluctuations on global financial market allows for the capability to discover the patterns of the future trends. The benefits of international diversification can be achieved with country-specific ETFs at a low cost, with a low transaction cost, tracking error and in a tax-efficient way. These empirical results indicate that XCS is capable of evolving from generation to generation, and in this way can provide the highest profit for future global asset allocation decision-making.",

author = "Tsai, {Wen Chih} and An-Pin Chen",

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Tsai, WC & Chen, A-P 2008, Global asset allocation using XCS experts in country-specific ETFs. in Proceedings - 3rd International Conference on Convergence and Hybrid Information Technology, ICCIT 2008., 4682406, Proceedings - 3rd International Conference on Convergence and Hybrid Information Technology, ICCIT 2008, vol. 2, pp. 1170-1176, 3rd International Conference on Convergence and Hybrid Information Technology, ICCIT 2008, Busan, Korea, Republic of, 11/11/08. https://doi.org/10.1109/ICCIT.2008.418

Global asset allocation using XCS experts in country-specific ETFs. / Tsai, Wen Chih; Chen, An-Pin.

Proceedings - 3rd International Conference on Convergence and Hybrid Information Technology, ICCIT 2008. 2008. p. 1170-1176 4682406 (Proceedings - 3rd International Conference on Convergence and Hybrid Information Technology, ICCIT 2008; Vol. 2).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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