A Model for Clustering and Optimizing Portfolio: Tehran Stock Exchange using data mining algorithms
Publish place: Third International Electronic Conference on Information Technology, Present and Future
Publish Year: 1393
نوع سند: مقاله کنفرانسی
زبان: English
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شناسه ملی سند علمی:
ITPF03_036
تاریخ نمایه سازی: 25 فروردین 1394
Abstract:
Management of investment basket and selecting assetsis one of the problems of decision making in financial area. In thecompetitive business environment, in order to confront complexcompetitions in the market, financial institutes try to consider thebest policy of investment basket that in turn leads to an increasein the output for the investors. The goal of this study is to developa portfolio by considering the behavior of investors in risk takingin a realistic method. This research aims at supporting investors,experts and intermediate managers in establishing optimizedportfolio of stocks. The proposed model has used the data of 66stockholders who were enlisted in Stock Exchange Market byusing the five indexes of risk, output, skewness, liquidity andcurrent ratio and clustered different companies by using theneuro- networks SOM algorithm The results show that thefunction of model to general index, the industry index and theindex of 50 more active companies are better in Tehran StockExchange.
Authors
Siyamak Goudarzi
Faculty of Engineering, Qom University Tehran, IRAN
Ali Teymornejad
Faculty of Engineering, Qom University Tehran, IRAN
Mohammad javad jafari
Faculty of Engineering, Qom University Tehran, IRAN