Sistema Inteligente para Seleção de Carteira de Investimentos (Intelligent System for Portfolio Selection)

André Hermenegildo Costa Silva (andrecosta@dcc.ufmg.br)1, Wilian Soares Lacerda (lacerda@prpg.ufla.br)2


1Universidade Federal de Minas Gerais
2Universidade Federal de Lavras

This paper appears in: Revista IEEE América Latina

Publication Date: Dec. 2014
Volume: 12,   Issue: 8 
ISSN: 1548-0992


Abstract:
The aim of this paper was to develop an intelligent system for portfolio selection that assists the investor in selecting assets for the composition of an optimal portfolio of investments. It was built a variation of the Markowitz Model, where the forecast price is reported by a predictor, using the Support Vector Machines (SVM) technique. The SVMs obtained an average prediction error of 7.13% and a standard deviation of 2.88%, which shows that most of SVMs performed good predictions about the data set.

Index Terms:
portfolio selection,markowitz model,forecasting financial series,support vector machines   


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