Refining Influence Diagram For Stock Portfolio Selection

Chiu-Che Tseng, Piotr J. Gmytrasiewicz, Chris Ching

No 241, Computing in Economics and Finance 2001 from Society for Computational Economics

Abstract: In this paper, we propose use of the influence diagram for stock portfolio selection. We use an algorithm that applies the mutual information as the metric to guide the refinement of the influence diagram. We applied the algorithm to the conceptual refinement of the influence diagram. We tested our algorithm to a specific domain ƒV portfolio selection; the result is impressive compared to the S&P500. Experiments comparing our model with the other machine learning techniques are also provided.

Keywords: Influence Diagram; Portfolio Selection; Model Refinement (search for similar items in EconPapers)
JEL-codes: D8 (search for similar items in EconPapers)
Date: 2001-04-01
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf1:241

Access Statistics for this paper

More papers in Computing in Economics and Finance 2001 from Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().