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Intelligent system for portfolio selection
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Institute of Electrictal and Electronics Engineers (IEEE)
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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.
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Submitted by Tatiana Silva (tatianasilva@biblioteca.ufla.br) on 2020-09-15T01:34:21Z
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Approved for entry into archive by Tatiana Silva (tatianasilva@biblioteca.ufla.br) on 2020-09-15T04:47:10Z (GMT) No. of bitstreams: 0
Made available in DSpace on 2020-09-15T04:47:10Z (GMT). No. of bitstreams: 0 Previous issue date: 2014-12
Approved for entry into archive by Tatiana Silva (tatianasilva@biblioteca.ufla.br) on 2020-09-15T04:47:10Z (GMT) No. of bitstreams: 0
Made available in DSpace on 2020-09-15T04:47:10Z (GMT). No. of bitstreams: 0 Previous issue date: 2014-12
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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.