A Type-2 Fuzzy Rule-Based Expert System Model for Portfolio Selection
نویسندگان
چکیده
This paper presents a type-2 fuzzy rule based expert system to handle uncertainty in complex problems such as portfolio selection. In a type-2 fuzzy expert system both antecedent and consequent have type-2 membership function. This research uses indirect approach fuzzy modeling, where the rules are extracted automatically by implementing a clustering approach. For this purpose, a new cluster analysis approach based on Fuzzy C-Means (FCM) is developed to generate primary membership of type-2 membership functions. A new cluster validity index based on Xie-Beni validity index is presented. The proposed type-2 fuzzy model is applied in stock market factors (such as risk, return, dividend,...) as the input variables. This model is tested on Tehran Stock Exchange (TSE). Through the intensive experimental tests, the model has successfully selected the most efficient portfolio based on individual investor. The results are very encouraging and can be implemented in a real-time trading system for stock.
منابع مشابه
A Dynamic Fuzzy Expert System Based on Maintenance Indicators for Service Type Selection of Machinery
Due to the multiplicity of standards and complex rules; maintenance, repair and servicing of machinery could be done only by the fully qualified and proficient experts. Since the knowledge of such experts is not available all times, using expert systems can help to improve the maintenance process. To address this need and the uncertainty of the maintenance process indicators, this research prop...
متن کاملDevelopment of an evolutionary fuzzy expert system for estimating future behavior of stock price
The stock market has always been an attractive area for researchers since no method has been found yet to predict the stock price behavior precisely. Due to its high rate of uncertainty and volatility, it carries a higher risk than any other investment area, thus the stock price behavior is difficult to simulation. This paper presents a “data mining-based evolutionary fuzzy expert system” (DEFE...
متن کاملA 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 کاملType-2 Fuzzy Hybrid Expert System For Diagnosis Of Degenerative Disc Diseases
One-third of the people with an age over twenty have some signs of degenerated discs. However, in most of the patients the mere presence of degenerative discs is not a problem leading to pain, neurological compression, or other symptoms. This paper presents an interval type-2 fuzzy hybrid rule-based system to diagnose the abnormal degenerated discs where pain variables are represented by interv...
متن کاملAdapted Neuro-Fuzzy Inference System on indirect approach TSK fuzzy rule base for stock market analysis
Nowadays because of the complicated nature of making decision in stock market and making real-time strategy for buying and selling stock via portfolio selection and maintenance, many research papers has involved stock price prediction issue. Low accuracy resulted by models may increase trade cost such as commission cost in more sequenced buy and sell signals because of insignificant alarms and ...
متن کامل