Fuzzy logic-based portfolio selection with particle filtering and anomaly detection

نویسندگان

  • Masafumi Nakano
  • Akihiko Takahashi
  • Soichiro Takahashi
چکیده

This paper proposes a new knowledge-based system (KBS) featuring fuzzy logic (FL) with particle filtering and anomaly detection to create high-performance investment portfolios. In particular, our FL system selects a portfolio with fine risk-return profiles from a number of candidates by integrating multilateral performance measures. The candidates consist of various portfolios based on multiple time-series models estimated by a particle filter with anomaly detectors. In an out-of-sample numerical experiment with a dataset of international financial assets, we demonstrate our KBS successfully generates a series of selected portfolios with satisfactory investment records.

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

A new framework for high-technology project evaluation and project portfolio selection based on Pythagorean fuzzy WASPAS, MOORA and mathematical modeling

High-technology projects are known as tools that help achieving productive forces through scientific and technological knowledge. These knowledge-based projects are associated with high levels of risks and returns. The process of high-technology project and project portfolio selection has technical complexities and uncertainties. This paper presents a novel two-parted method of high-technology ...

متن کامل

A Fuzzy Goal Programming Model for Efficient Portfolio Selection.

This paper considers a multi-objective portfolio selection problem imposed by gaining of portfolio, divided yield and risk control in an ambiguous investment environment, in which the return and risk are characterized by probabilistic numbers. Based on the theory of possibility, a new multi-objective portfolio optimization model with gaining of portfolio, divided yield and risk control is propo...

متن کامل

Geological noise removal in geophysical magnetic survey to detect unexploded ordnance based on image filtering

This paper describes the application of three straightforward image-based filtering methods to remove the geological noise effect which masks unexploded ordnances (UXOs) magnetic signals in geophysical surveys. Three image filters comprising of mean, median and Wiener are used to enhance the location of probable UXOs when they are embedded in a dominant background geological noise. The study ar...

متن کامل

A fuzzy anomaly detection system based on hybrid PSO-Kmeans algorithm in content-centric networks

In Content-Centric Networks (CCNs) as a possible future Internet, new kinds of attacks and security challenges -from Denial of Service (DoS) to privacy attackswill arise. An efficient and effective security mechanism is required to secure content and defense against unknown and new forms of attacks and anomalies. Usually, clustering algorithms would fit the requirements for building a good anom...

متن کامل

A New Iterative Fuzzy-Based Method for Image Enhancement (RESEARCH NOTE)

This paper presents a new filtering approach based on fuzzy-logic which has high performance in mixed noise environments. This filter is mainly based on the idea that each pixel is not allowed to be uniformly fired by each of the fuzzy rules. In the proposed filtering algorithm, the rule membership functions are tuned iteratively in order to preserve the image edges. Several test experiments we...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

عنوان ژورنال:
  • Knowl.-Based Syst.

دوره 131  شماره 

صفحات  -

تاریخ انتشار 2017