DocumentCode
28052
Title
Intelligent System for Portfolio Selection
Author
Hermenegildo Costa Silva, Andre ; Soares Lacerda, Wilian
Author_Institution
Univ. Fed. de Minas Gerais (UFMG), Belo Horizonte, Brazil
Volume
12
Issue
8
fYear
2014
fDate
Dec. 2014
Firstpage
1545
Lastpage
1552
Abstract
The aim of this paper was to develop an intelligent system for portfolio selection that assists the investor in selecting assets for the composition of an optimal portfolio of investments. It was built a variation of the Markowitz Model, where the forecast price is reported by a predictor, using the Support Vector Machines (SVM) technique. The SVMs obtained an average prediction error of 7.13% and a standard deviation of 2.88%, which shows that most of SVMs performed good predictions about the data set.
Keywords
economic forecasting; investment; pricing; support vector machines; Markowitz Model; SVM technique; asset selection; forecast price; intelligent system; investments; portfolio selection; support vector machines technique; Intelligent systems; Kernel; Media; Portfolios; Predictive models; RNA; Support vector machines; forecasting financial series; markowitz model; portfolio selection; support vector machines;
fLanguage
English
Journal_Title
Latin America Transactions, IEEE (Revista IEEE America Latina)
Publisher
ieee
ISSN
1548-0992
Type
jour
DOI
10.1109/TLA.2014.7014526
Filename
7014526
Link To Document