Title :
Value and risk in investment portfolios, critical variables calculated from an intelligent hybrid system based on CBR
Author :
DiÌaz Estrada, Ernesto Camilo ; Fajardo Toro, Carlos HernaÌn
Author_Institution :
Programa de Ing. Ind., Univ. del Atlantico, Barranquilla, Colombia
Abstract :
This paper presents the partial results obtained at the doctoral work titled ADAPTIVE HYBRID SYSTEM FOR THE VALUE AT RISK ESTIMATION ON PORTFOLIOS, where different AI techniques are used. This expert system tries to predict the portfolio variability with two o more assets, where the ROI and the risk rate are vital to define the efficient frontier market proposed by Markowitz.
Keywords :
case-based reasoning; investment; knowledge based systems; AI techniques; CBR; ROI; intelligent hybrid system; investment portfolios; portfolio variability prediction; risk rate; Adaptation models; Computational modeling; Educational institutions; Genetic algorithms; Portfolios; Reactive power; Robustness; CBR; Optimization; Portfolio; Value at Risk;
Conference_Titel :
Information Systems and Technologies (CISTI), 2014 9th Iberian Conference on
Conference_Location :
Barcelona
DOI :
10.1109/CISTI.2014.6876974
