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- W2738602436 abstract "This paper proposes a new knowledge-based system (KBS) featuring fuzzy logic (FL) with particle filtering and anomaly detection to create high-performance investment port-folios. 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." @default.
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- W2738602436 date "2017-01-01" @default.
- W2738602436 modified "2023-09-26" @default.
- W2738602436 title "Fuzzy Logic-based Portfolio Selection with Particle Filtering and Anomaly Detection (Subsequently published in Knowledge-Based Systems)" @default.
- W2738602436 hasPublicationYear "2017" @default.
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