Crossover operators that improve offspring fitness
Fine-honing the crossover operator to produce higher fitness children is shown to result in improved genetic search. To illustrate this, two new general-purpose crossover operators are described. These operators require more computation time than traditional crossover operators, but the number of fitness evaluations and the overall amount of time spent by the genetic algorithm (to obtain solutions of desired near-optimal quality) is reduced significantly.
Abstract This study contributes to the literature on socially responsible investing by examining the diversification potential of commodities, specifically oil, gold and clean energy together with the Brazilian Corporate Sustainability Index (ISE). Multivariate GARCH models are used to model volatility spillovers and conditional correlation in pairs of stocks containing ISE. Specifically, A-BEKK and A-DCC models with spillovers are estimated. The models’ results are used to compute and analyze the optimal weights and hedge ratios for stock portfolio holdings. The greatest benefit from diversification is obtained through the acquisition of gold and then OVX.