A risk-aware fuzzy linguistic knowledge-based recommender system for hedge funds
| Autor: | Enrique Herrera-Viedma, Álvaro Tejeda-Lorente, Carlos Porcel, Juan Bernabé-Moreno, Julio Herce-Zelaya |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: |
Actuarial science
business.industry Computer science Diversification (finance) 020206 networking & telecommunications 02 engineering and technology Diversification (marketing strategy) Recommender system Hedge fund 0202 electrical engineering electronic engineering information engineering General Earth and Planetary Sciences Fuzzy linguistic 020201 artificial intelligence & image processing business General Environmental Science |
| Zdroj: | Digibug. Repositorio Institucional de la Universidad de Granada instname ITQM |
| Popis: | One of the most difficult tasks for hedge funds investors is selecting a proper fund with just the right level level of risk. Often times, the issue is not only quantifying the hedge fund risk, but also the level the investors consider just right. To support this decision, we propose a novel recommender system, which is aware of the risks associated to different hedge funds, considering multiple factors, such as current yields, historic performance, diversification by industry, etc. Our system captures the preferences of the investors (e.g. industries, desired level of risk) applying fuzzy linguistic modeling and provides personalized recommendations for matching hedge funds. To demonstrate how our approach works, we have first profiled more than 4000 top hedge funds based on their composition and performance and second, created different simulated investment profiles and tested our recommendations with them. This paper has been developed with the FEDER financing under Project TIN2016-75850-R. |
| Databáze: | OpenAIRE |
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