A system for efficient portfolio management

Authors:
Vivian F. López;Luis Alonso;María N. Moreno;Saddys Segrera;Alfredo Belloso
Affiliations:
Dept. Informática y Automática, University of Salamanca, Salamanca;Dept. Informática y Automática, University of Salamanca, Salamanca;Dept. Informática y Automática, University of Salamanca, Salamanca;Dept. Informática y Automática, University of Salamanca, Salamanca;Dept. Económico y Financiero, ADIF, Madrid
Venue:
IDEAL'07 Proceedings of the 8th international conference on Intelligent data engineering and automated learning
Year:
2007

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Abstract

In this work we perform an automatic data survey to draw up an optimum portfolio, and to automate the one year forecast of a portfolio's payoff and risk, showing the advantages of using formally grounded models in portfolio management and adopting a strategy that ensures, a high rate of return at a minimum risk. The use of neural networks provides an interesting alternative to the statistical classifier. We can take a decision on the purchase or sale of a given asset, using a neural network to classify the process into three decisions: buy, sell or do nothing.