Financial Analytics: Science and Experience

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Financial Analytics: Science and Experience

30(72) - 2011 August

Portfolio constraction based on pattern recognition

Vol. 4, Iss. 30, AUGUST 2011

Available online: 22 August 2011

Subject Heading: MARKET FOR SECURITIES

JEL Classification:

Bronshtein E.M. doctor of physics and mathematics sciences, professor of chair of computation mathematics and cybernetics, Ufa State Aviation Technical University
bro-efim@yandex.ru

Ishmanov I.N. post-graduate student of Ufa state aviation technical university
ildarrinn@mail.ru

The paper proposes a method for construction a portfolio of securities based on the theory of pattern recognition and subsequent selection of assets based on various characteristics. The efficiency of the offered approach is investigated on the fact evidence.

Keywords: portfolio, the theory of Markowitz, clustering

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ISSN 2311-8768 (Online)
ISSN 2073-4484 (Print)

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