Global investing risk: a case study of knowledge assessment via rough sets

Salvatore Greco (), Benedetto Matarazzo (), Roman Slowinski () and Stelios Zanakis ()

Annals of Operations Research, 2011, vol. 185, issue 1, 105-138

Abstract: This paper presents an application of knowledge discovery via rough sets to a real life case study of global investing risk in 52 countries using 27 indicator variables. The aim is explanation of the classification of the countries according to financial risks assessed by Wall Street Journal international experts and knowledge discovery from data via decision rule mining, rather than prediction; i.e. to capture the explicit or implicit knowledge or policy of international financial experts, rather than to predict the actual classifications. Suggestions are made about the most significant attributes for each risk class and country, as well as the minimal set of decision rules needed. Our results compared favorably with those from discriminant analysis and several variations of preference disaggregation MCDA procedures. The same approach could be adapted to other problems with missing data in data mining, knowledge extraction, and different multi-criteria decision problems, like sorting, choice and ranking. Copyright Springer Science+Business Media, LLC 2011

Keywords: Knowledge discovery; Investing risk assessment; Rough sets; Decision rule mining; Multi-criteria classification; Artificial intelligence; Financial engineering; Missing values (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (8)

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DOI: 10.1007/s10479-009-0542-3

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