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Stock portfolio selection using association rule mining and financial approaches

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Portfolio optimization and stocks selection of portfolio have become importance aspects of stock exchange since invest to individual stock has high risk of loss. This system is introduced a new concept to select stock for portfolio. The combination of Weighted Association Rule Mining and Financial Approaches is used to create a portfolio of stocks. The Weighted Apriori-T algorithm is implemented to find the rule generation of stocks. The system is proposed to help in finding stocks portfolio in long term period and short term period (per month). These algorithms can be used to measure the volatility, the correlation, the expected return, the proportion of investment, the movement, and the systematic risk of stocks. The stock portfolio optimization problem solve by assign a weight for each stock of portfolio that is calculated based on a dividend and CAPM value. The weight or investment proportion use to reduce the risk and increase the return of each stock in a portfolio. The systematic risk of portfolio can be reduced by add the expected return with view value or investments proportion for each stock news.

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Availability

B00528

(wh)

Available

Detail Information

Series Title

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Call Number

528

Publisher

: Swiss German University., 2009

Collation

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Language

English

ISBN/ISSN

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Classification

NONE

Content Type

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Media Type

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Carrier Type

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Edition

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Subject(s)

IT

Specific Detail Info

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Statement of Responsibility

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