Portfolio selection using artificial intelligence

Ashwood, Andrew J. (2014) Portfolio selection using artificial intelligence. Professional Doctorate thesis, Queensland University of Technology.

Abstract

The application of artificial intelligence in finance is relatively new area of research. This project employed artificial neural networks (ANNs) that use both fundamental and technical inputs to predict future prices of widely held Australian stocks and use these predicted prices for stock portfolio selection over a long investment horizon. The research involved the creation and testing of a large number of possible network configurations and draws conclusions about ANN architectures and their overall suitability for the purpose of stock portfolio selection.

Impact and interest:

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Full-text downloads:

685 since deposited on 20 Jan 2014
181 in the past twelve months

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ID Code: 66229
Item Type: QUT Thesis (Professional Doctorate)
Supervisor: Basu, Anup
Keywords: artificial neural network, portfolio selection , alpha, performance measurement, feed-forward, back-propagation, efficient market hypothesis, neural network
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Institution: Queensland University of Technology
Deposited On: 20 Jan 2014 04:15
Last Modified: 07 Sep 2015 00:54

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