The Performance of Stock Portfolios formed using Fuzzy Logic

Financial Statistical Journal

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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
Date 2018-09-05
Type info:eu-repo/semantics/article
Peer-reviewed Article
Format application/pdf
Source Financial Statistical Journal; Vol 1, No 2 (Published)
Language eng
Rights Copyright (c) 2018 Financial Statistical Journal

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