• DocumentCode
    271746
  • Title

    Value and risk in investment portfolios, critical variables calculated from an intelligent hybrid system based on CBR

  • Author

    Díaz Estrada, Ernesto Camilo ; Fajardo Toro, Carlos Hernán

  • Author_Institution
    Programa de Ing. Ind., Univ. del Atlantico, Barranquilla, Colombia
  • fYear
    2014
  • fDate
    18-21 June 2014
  • Firstpage
    1
  • Lastpage
    4
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Information Systems and Technologies (CISTI), 2014 9th Iberian Conference on
  • Conference_Location
    Barcelona
  • Type

    conf

  • DOI
    10.1109/CISTI.2014.6876974
  • Filename
    6876974
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=271746