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http://repositorio.ufla.br/jspui/handle/1/43077| Title: | Intelligent system for portfolio selection |
| Keywords: | Forecasting financial series Markowitz model Portfolio selection Support vector machines |
| Issue Date: | Dec-2014 |
| Publisher: | Institute of Electrictal and Electronics Engineers (IEEE) |
| Citation: | SILVA, A. H. C.; LACERDA, W. S. Intelligent system for portfolio selection. IEEE Latin America Transactions, [S.l.], v. 12, n. 8, p. 1545-1552, Dec. 2014. DOI: 10.1109/TLA.2014.7014526. |
| 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. |
| URI: | https://ieeexplore.ieee.org/document/7014526 http://repositorio.ufla.br/jspui/handle/1/43077 |
| Appears in Collections: | DCC - Artigos publicados em periódicos |
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