6533b855fe1ef96bd12b144b

RESEARCH PRODUCT

A new approach to portfolio selection based on forecasting

Ana Corberán-valletEnriqueta VercherJosé V. SeguraJosé D. Bermúdez

subject

Artificial Intelligencetime series analysisGeneral EngineeringfinanceforecastingUNESCO::CIENCIAS TECNOLÓGICASmulti-objective genetic algorithmportfolio optimizationComputer Science Applications

description

In this paper we analyze the portfolio selection problem from a novel perspective based on the analysis and prediction of the time series corresponding to the portfolio’s value. Namely, we define the value of a particular portfolio at the time of its acquisition. Using the time series of historical prices of the different financial assets, we calculate backward the value that said portfolio would have had in past time periods. A damped trend model is then used to analyze this time series and to predict the future values of the portfolio, providing estimates of the mean and variance for different forecasting horizons. These measures are used to formulate the portfolio selection problem, which is solved using a multi-objective genetic algorithm. To show the performance of this procedure, we use a data set of asset prices from the New York Stock Market.

yearjournalcountryeditionlanguage
2023-04-01
10.1016/j.eswa.2022.119370https://hdl.handle.net/10550/87980