Please use this identifier to cite or link to this item: https://hdl.handle.net/11000/32296
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dc.contributor.authorCorberan-Vallet, Ana-
dc.contributor.authorVercher, Enriqueta-
dc.contributor.authorSegura-Heras, José Vicente-
dc.contributor.authorBermúdez, José D.-
dc.contributor.otherDepartamentos de la UMH::Estadística, Matemáticas e Informáticaes_ES
dc.date.accessioned2024-06-13T08:11:59Z-
dc.date.available2024-06-13T08:11:59Z-
dc.date.created2022-12-05-
dc.identifier.citationExpert Systems with Applications Volume 215, 2023, 119370es_ES
dc.identifier.issn1873-6793-
dc.identifier.issn0957-4174-
dc.identifier.urihttps://hdl.handle.net/11000/32296-
dc.description.abstractIn 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.es_ES
dc.formatapplication/pdfes_ES
dc.format.extent9es_ES
dc.language.isoenges_ES
dc.publisherElsevieres_ES
dc.rightsinfo:eu-repo/semantics/openAccesses_ES
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectPortfolio optimizationes_ES
dc.subjectFinancees_ES
dc.subjectTime series analysises_ES
dc.subjectForecastinges_ES
dc.subjectMulti-objective genetic algorithmes_ES
dc.subject.otherCDU::5 - Ciencias puras y naturales::51 - Matemáticases_ES
dc.titleA new approach to portfolio selection based on forecastinges_ES
dc.typeinfo:eu-repo/semantics/articlees_ES
dc.relation.publisherversionhttps://doi.org/10.1016/j.eswa.2022.119370es_ES
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Artículos Estadística, Matemáticas e Informática


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