Following Levy and Roll [2010], we posit that the market portfolio is the efficient tangent Markowitz portfolio, i.e., it is mean-variance efficient. We then reverse engineer the expected returns and variance terms with constraints imposed by empirical data on a hierarchy of asset baskets. This...

We provide an overview of using genetic programming (GP) to model stock returns. Our models employ GP terminals (model decision variables) that are financial factors identified by experts. We describe the multi-stage training, testing and validation process that we have integrated with GP...