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...

We propose a high-frequency rebalancing algorithm (HFRA) and compare its performance with periodic rebalancing (PR) and threshold rebalancing (TR) strategies. PR refers to the process of adjusting the relative weight of assets within portfolios at regular time intervals, whereas TR is a process...