A Hybrid Model for Financial Portfolio Optimization Based on LS-SVM and a Clustering Algorithm

Autor:	Jovica Stanković, Ivana P. Markovic, Miloš B. Stojanović, Jelena Stanković
Rok vydání:	2019
Předmět:	Support vector machine Finance Dynamic time warping business.industry Computer science Diversification (finance) Portfolio Portfolio optimization Cluster analysis business Hybrid model Hierarchical clustering
Zdroj:	Communications in Computer and Information Science ISBN: 9783030331092 ICT Innovations
DOI:	10.1007/978-3-030-33110-8_15
Popis:	An investment decision is one of the most important financial decisions. With the aim of optimizing investment in securities from the aspect of return and risk, investors usually diversify their portfolio securities. This paper presents a hybrid model for portfolio optimization, which consist of two steps. The first step predicts future returns on the shares, and the second step, by applying hierarchical clustering algorithm, identifies various groups of shares. The test results indicate that the suggested model is suitable for optimization of a financial portfolio as a hybrid model based on selected shares, which if included in the portfolio, enable the diversification of risk.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::14e112b4dc4f75bc73b6559f875fe09c https://doi.org/10.1007/978-3-030-33110-8_15 Zobrazit plný text záznamu