{"title":"A New Fuzzy DSS\/ES for Stock Portfolio Selection using Technical and Fundamental Approaches in Parallel","authors":"H. Zarei, M. H. Fazel Zarandi, M. Karbasian","country":null,"institution":"","volume":36,"journal":"International Journal of Industrial and Manufacturing Engineering","pagesStart":1467,"pagesEnd":1477,"ISSN":"1307-6892","URL":"https:\/\/publications.waset.org\/pdf\/12031","abstract":"A Decision Support System\/Expert System for stock\r\nportfolio selection presented where at first step, both technical and\r\nfundamental data used to estimate technical and fundamental return\r\nand risk (1st phase); Then, the estimated values are aggregated with\r\nthe investor preferences (2nd phase) to produce convenient stock\r\nportfolio.\r\nIn the 1st phase, there are two expert systems, each of which is\r\nresponsible for technical or fundamental estimation. In the technical\r\nexpert system, for each stock, twenty seven candidates are identified\r\nand with using rough sets-based clustering method (RC) the effective\r\nvariables have been selected. Next, for each stock two fuzzy rulebases\r\nare developed with fuzzy C-Mean method and Takai-Sugeno-\r\nKang (TSK) approach; one for return estimation and the other for\r\nrisk. Thereafter, the parameters of the rule-bases are tuned with backpropagation\r\nmethod. In parallel, for fundamental expert systems,\r\nfuzzy rule-bases have been identified in the form of \u201cIF-THEN\" rules\r\nthrough brainstorming with the stock market experts and the input\r\ndata have been derived from financial statements; as a result two\r\nfuzzy rule-bases have been generated for all the stocks, one for return\r\nand the other for risk.\r\nIn the 2nd phase, user preferences represented by four criteria and\r\nare obtained by questionnaire. Using an expert system, four estimated\r\nvalues of return and risk have been aggregated with the respective\r\nvalues of user preference. At last, a fuzzy rule base having four rules,\r\ntreats these values and produce a ranking score for each stock which\r\nwill lead to a satisfactory portfolio for the user.\r\nThe stocks of six manufacturing companies and the period of\r\n2003-2006 selected for data gathering.","references":null,"publisher":"World Academy of Science, Engineering and Technology","index":"Open Science Index 36, 2009"}