Intelligent system for portfolio selection

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dc.creatorSilva, André Hermenegildo Costa
dc.creatorLacerda, Wilian Soares
dc.date.accessioned2020-09-15T04:47:10Z
dc.date.available2020-09-15T04:47:10Z
dc.date.issued2014-12
dc.description.abstractThe 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.pt_BR
dc.description.provenanceSubmitted by Tatiana Silva (tatianasilva@biblioteca.ufla.br) on 2020-09-15T01:34:21Z No. of bitstreams: 0en
dc.description.provenanceApproved for entry into archive by Tatiana Silva (tatianasilva@biblioteca.ufla.br) on 2020-09-15T04:47:10Z (GMT) No. of bitstreams: 0en
dc.description.provenanceMade available in DSpace on 2020-09-15T04:47:10Z (GMT). No. of bitstreams: 0 Previous issue date: 2014-12en
dc.identifier.citationSILVA, 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.pt_BR
dc.identifier.urihttps://repositorio.ufla.br/handle/1/43077
dc.identifier.urihttps://ieeexplore.ieee.org/document/7014526pt_BR
dc.languageen_USpt_BR
dc.publisherInstitute of Electrictal and Electronics Engineers (IEEE)pt_BR
dc.rightsopenAccesspt_BR
dc.sourceIEEE Latin America Transactionspt_BR
dc.subjectForecasting financial seriespt_BR
dc.subjectMarkowitz modelpt_BR
dc.subjectPortfolio selectionpt_BR
dc.subjectSupport vector machinespt_BR
dc.titleIntelligent system for portfolio selectionpt_BR
dc.typeArtigopt_BR

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