A fuzzy rule based expert system for stock evaluation and portfolio construction: An application to Istanbul Stock Exchange

Yunusoglu M. G., SELİM H.

EXPERT SYSTEMS WITH APPLICATIONS, cilt.40, sa.3, ss.908-920, 2013 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 40 Sayı: 3
  • Basım Tarihi: 2013
  • Doi Numarası: 10.1016/j.eswa.2012.05.047
  • Dergi Adı: EXPERT SYSTEMS WITH APPLICATIONS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.908-920
  • Anahtar Kelimeler: Portfolio management, Stock evaluation, Expert systems, Fuzzy logic, Istanbul Stock Exchange
  • Dokuz Eylül Üniversitesi Adresli: Evet

Özet

The aim of this study is to construct appropriate portfolios by taking investor's preferences and risk profile into account in a realistic, flexible and practical manner. In this concern, a fuzzy rule based expert system is developed to support portfolio managers in their middle term investment decisions. The proposed expert system is validated by using the data of 61 stocks that publicly traded in Istanbul Stock Exchange National-100 Index from the years 2002 through 2010. The performance of the proposed system is analyzed in comparison with the benchmark index, Istanbul Stock Exchange National-30 Index, in terms of different risk profiles and investment period lengths. The results reveal that the performance of the proposed expert system is superior relative to the benchmark index in most cases. Additionally, in parallel to our expectations, the performance of the expert system is relatively higher in case of risk-averse investor profile and middle term investment period than the performance observed in the other cases. (C) 2012 Elsevier Ltd. All rights reserved.