標題: Using FSBT technique with Rough Set Theory for personal investment portfolio analysis
作者: Shyng, Jhieh-Yu
Shieh, How-Ming
Tzeng, Gwo-Hshiung
Hsieh, Shu-Huei
科技管理研究所
Institute of Management of Technology
關鍵字: Asset allocation;Asset management;Forward Search and Backward Trace (FSBT);Investment portfolio;Rough Set Theory (RST)
公開日期: 1-三月-2010
摘要: 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. (C) 2009 Elsevier B.V. All rights reserved.
URI: http://dx.doi.org/10.1016/j.ejor.2009.03.031
http://hdl.handle.net/11536/5784
ISSN: 0377-2217
DOI: 10.1016/j.ejor.2009.03.031
期刊: EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
Volume: 201
Issue: 2
起始頁: 601
結束頁: 607
顯示於類別:期刊論文


文件中的檔案:

  1. 000270964900026.pdf