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分類番号: CARF-F-405
発表時期: 2017 2
タイトル: Fuzzy Logic-based Portfolio Selection with Particle Filtering and Anomaly Detection (Subsequently published in "Knowledge-Based Systems")
著者: Masafumi Nakano, Akihiko Takahashi, Soichiro Takahashi
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.

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