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A tool for data mining in the efficient portfolio management

Abstract:

In this work we perform a tool to data mining in the portfolios analysis. We perform an automatic data survey to draw up an optimum portfolio, and to automate the one year forecast of a portfolio's payoff and risk, showingthe advantages of using formally grounded models in portfolio management and adopting a strategy that ensures, a high rate of return at a minimum risk. The use of neural networks provides an interesting alternative to the statistical classifier. We can take a decision on the purchase or sale of a given asset, using a neural network to classify the process into three decisions: buy, sell or do nothing. © Springer-Verlag Berlin Heidelberg 2014.