Combining Argumentation and Hybrid Evolutionary Systems in a Portfolio Construction Application
نویسندگان
چکیده
In this paper we present an application for the construction of mutual fund portfolios. It is based on a combination of Intelligent Methods, namely an argumentation based decision making framework and a forecasting algorithm combining Genetic Algorithms (GA), MultiModel Partitioning (MMP) theory and Extended Kalman Filters (EKF). The argumentation framework is employed in order to develop mutual funds performance models and to select a small set of mutual funds, which will compose the final portfolio. The forecasting algorithm is employed in order to forecast the market status (inflating or deflating) for the next investment period. The knowledge engineering approach and application development steps are also discussed.12
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