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Combining argumentation and hybrid evolutionary systems in a portfolio construction application

Spanoudakis Nikolaos I., Pendaraki Konstantina, Beligiannis Grigorios

Πλήρης Εγγραφή

URI: http://purl.tuc.gr/dl/dias/9EDBEF41-415E-462C-AD77-292248B5353D
Έτος 2008
Τύπος Πλήρης Δημοσίευση σε Συνέδριο
Άδεια Χρήσης
Λεπτομέρειες
Βιβλιογραφική Αναφορά N. Spanoudakis, K. Pendaraki and G. Beligiannis, "Combining Argumentation and Hybrid Evolutionary Systems in a Portfolio Construction Application", in Proceedings of the first International Workshop on Combinations of Intelligent Methods and Applications in conjunction with the 18th European Conference on Artificial Intelligence, 21-22 July 2008.
Εμφανίζεται στις Συλλογές
Δημοσιεύσεις σε Συνέδρια στην Κοινότητα Σχολή Μηχανικών Παραγωγής και Διοίκησης

Περίληψη

In this paper we present an application for theconstruction of mutual fund portfolios. It is based on acombination of Intelligent Methods, namely an argumentationbased decision making framework and a forecasting algorithmcombining Genetic Algorithms (GA), MultiModel Partitioning(MMP) theory and Extended Kalman Filters (EKF). Theargumentation framework is employed in order to develop mutualfunds performance models and to select a small set of mutualfunds, which will compose the final portfolio. The forecastingalgorithm is employed in order to forecast the market status(inflating or deflating) for the next investment period. Theknowledge engineering approach and application developmentsteps are also discussed.

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