The Performance of Stock Portfolios formed using Fuzzy Logic

Financial Statistical Journal

View Publication Info
 
 
Field Value
 
Title The Performance of Stock Portfolios formed using Fuzzy Logic
 
Creator Sinha, Amit K.
Jacob, Andrew J.
 
Subject Expert Systems; Stock returns; portfolios; fuzzy logic; Sharpe ratio; Treynor ratio JEL Classification:C8, G1, G11,
 
Description Expert systems, a type of artificial intelligence that replicate how experts think, can aide unskilled users in making decisions or apply an expert’s thought process to a sample much larger than could be examined by a human expert. In this paper, an expert system that ranks financial securities using fuzzy membership functions is developed and applied to form portfolios. Our results indicate that this approach to form stock portfolios can result in superior returns than the market as measured by the return on the S&P 500. These portfolios may also provide superior risk-adjusted returns when compared to the market.
 
Publisher EnPress Publisher LLC
 
Contributor
 
Date 2018-09-05
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://systems.enpress-publisher.com/index.php/FSJ/article/view/814
10.24294/fsj.v1i2.814
 
Source Financial Statistical Journal; Vol 1, No 2 (Published)
2578-1960
10.24294/fsj.v1i2
 
Language eng
 
Relation https://systems.enpress-publisher.com/index.php/FSJ/article/view/814/602
https://systems.enpress-publisher.com/index.php/FSJ/article/downloadSuppFile/814/394
 
Rights Copyright (c) 2018 Financial Statistical Journal
http://creativecommons.org/licenses/by-nc/4.0
 

Contact Us

The PKP Index is an initiative of the Public Knowledge Project.

For PKP Publishing Services please use the PKP|PS contact form.

For support with PKP software we encourage users to consult our wiki for documentation and search our support forums.

For any other correspondence feel free to contact us using the PKP contact form.

Find Us

Twitter

Copyright © 2015-2018 Simon Fraser University Library