A fuzzy rule based expert system for stock evaluation and portfolio construction: An application to Istanbul Stock Exchange
作者: Mualla Gonca YunusogluHasan Selim
作者单位: 1Department of Industrial Engineering, Dokuz Eylul University, 35160 Izmir, Turkey
刊名: Expert Systems With Applications, 2013, Vol.40 (3), pp.908-920
来源数据库: Elsevier Journal
DOI: 10.1016/j.eswa.2012.05.047
关键词: Portfolio managementStock evaluationExpert systemsFuzzy logicIstanbul Stock Exchange
英文摘要: Abstract(#br)The aim of this study is to construct appropriate portfolios by taking investor’s preferences and risk profile into account in a realistic, flexible and practical manner. In this concern, a fuzzy rule based expert system is developed to support portfolio managers in their middle term investment decisions. The proposed expert system is validated by using the data of 61 stocks that publicly traded in Istanbul Stock Exchange National-100 Index from the years 2002 through 2010. The performance of the proposed system is analyzed in comparison with the benchmark index, Istanbul Stock Exchange National-30 Index, in terms of different risk profiles and investment period lengths. The results reveal that the performance of the proposed expert system is superior relative to the...
全文获取路径: Elsevier  (合作)
影响因子:1.854 (2012)