Using FSBT technique with Rough Set Theory for personal investment portfolio analysis

Jhieh-Yu Shyng, How-Ming Shieh, Gwo-Hshiung Tzeng and Shu-Huei Hsieh

European Journal of Operational Research, 2010, vol. 201, issue 2, 601-607

Abstract: This study proposes a novel Forward Search and Backward Trace (FSBT) technique based on Rough Set Theory to improve data analysis and extend the scope of observations made from sample data to solve personal investment portfolio problems. Rough Set Theory mathematically classifies data into class sets. The class set with the most objects may generate one decision rule. The rules generated from RST are rough and fragmented, that are very difficult to interpret the information. An empirical case is used to generate more than 85 rules by the RST method in comparison with FSBT method which only generated 14 rules. This result can show our proposed method is better than traditional RST method based on class sets that contain the most objects. Much of human knowledge is described in natural language. It is a very important thing to convert information from computer databases into normal human language. Sample data taken from features with the same backgrounds are used to compile different portfolios that investment companies and investment advisors can employ to satisfy the investor' needs. The method not only can provide decision-making rules, but also can offer alternative strategies for better data analysis. We believe that the FSBT technique can be fully applied in research on investment marketing.

Keywords: Asset; allocation; Asset; management; Forward; Search; and; Backward; Trace; (FSBT); Investment; portfolio; Rough; Set; Theory; (RST) (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:201:y:2010:i:2:p:601-607

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