Economic Analysis: Theory and Practice

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Economic Analysis: Theory and Practice

28(283) - 2012 July

Use of some methods of Data Mining in tasks of selecting investment portfolio

Vol. 11, Iss. 28, JULY 2012

Available online: 27 July 2012

Subject Heading: ECONOMIC-MATHEMATICAL MODELING

JEL Classification:

Isavnin A.G. Doctor of Economic Sciences, Professor, Dean of faculty "Applied Mathematics and Information Technologies", the Kazan (Volga) Federal University, Naberezhnye Chelny branch
isavnin@mail.ru

Galiev D.R. Student of faculty "Applied Mathematics and Information Technologies", the Kazan (Volga) Federal University, Naberezhnye Chelny branch
damir.galiev@mail.ru

Article is devoted to use of the Data Mining methods in the problems of a choice of an optimum investment portfolio. Use of the neural TSK networks (Takagi - Sugeno - Kanga) for forecasting of a temporary number of profit abilities and neural networks of direct distribution for a forecast of potential of growth (falling) of an asset is considered. Models of a choice of an optimum portfolio by asymmetric risk measures and use of forecasts of neuron-network models are considered.

Keywords: portfolio investment, data mining, neural networks, optimization

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ISSN 2311-8725 (Online)
ISSN 2073-039X (Print)

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