Title :
Three decision making levels in portfolio management
Author :
Šarunas Raudys;Aistis Raudys
Author_Institution :
Vilnius University, Faculty of Mathematics and Informatics, Naugarduko st. 24, LT-03225 Vilnius, Lithuania
fDate :
3/1/2012 12:00:00 AM
Abstract :
To improve portfolio management process we suggest using profit histories of automated trading strategies instead of actual assets. Such history can be generated by simulating hundreds of automated trading strategies (robots). We developed three-level decision making system aimed to find the portfolio weights. At the first level, virtual robots trade the assets, at the second level we create virtual profit fusion agents that calculate weighted sums of the profit series created by the first level robots. At the third level, we rank the fusion agents, select a set of the best ones and construct the final portfolio. Experiments with real financial 2004-2011 years data confirm usefulness of the novel approach.
Keywords :
"Robots","Portfolios","Covariance matrix","Decision making","Vectors","Standards","Training"
Conference_Titel :
Computational Intelligence for Financial Engineering & Economics (CIFEr), 2012 IEEE Conference on
Print_ISBN :
978-1-4673-1802-0
DOI :
10.1109/CIFEr.2012.6327795