Developing an expert system to create and rebalance investment portfolio, using technical analysis

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Vakili Seyed Hojat; NAJAFI AMIR ABBAS; EBRAHIMI SEYED BABAK

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Paper Information

Journal: INVESTMENT KNOWLEDGE Year:2019 | Volume:8 | Issue:29 Page(s): 31-44

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Information Journal Paper

Title

Developing an expert system to create and rebalance investment portfolio, using technical analysis

Author(s)

Vakili Seyed Hojat | NAJAFI AMIR ABBAS | EBRAHIMI SEYED BABAK | Issue Writer Certificate

Keywords

Expert systemQ1

Genetic algorithmQ1

PortfolioQ1

Technical AnalysisQ1

Abstract

Technical Analysis is a methods to predict price movements which is used widely in financial markets. Theoretical and experimental result shows that investing on different assets as a Portfolio cause to risk reduction. One of the deficiencies of Technical Analysis is lack of attention to make an appropriate diversification on assets. This paper is trying to design an automated trading system which can make an appropriate Portfolio and rebalance it whenever needed. This system will be designed by the use of Genetic algorithm, Technical Analysis basis and indicators. In order to assess the efficiency of this Expert system twelve stocks were chosen from Tehran securities exchange market and the system has been run for the period of 330 days. Result shows that the return of the Expert system is significantly larger than buy and hold strategy of equal weighted Portfolio, variance and semi-variance Portfolios of Markowitz model and risk free rate of return in Iran.

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APA: Copy

Vakili, Seyed Hojat, NAJAFI, AMIR ABBAS, & EBRAHIMI, SEYED BABAK. (2019). Developing an expert system to create and rebalance investment portfolio, using technical analysis. INVESTMENT KNOWLEDGE, 8(29 ), 31-44. SID. https://sid.ir/paper/188155/en

Vancouver: Copy

Vakili Seyed Hojat, NAJAFI AMIR ABBAS, EBRAHIMI SEYED BABAK. Developing an expert system to create and rebalance investment portfolio, using technical analysis. INVESTMENT KNOWLEDGE[Internet]. 2019;8(29 ):31-44. Available from: https://sid.ir/paper/188155/en

IEEE: Copy

Seyed Hojat Vakili, AMIR ABBAS NAJAFI, and SEYED BABAK EBRAHIMI, “Developing an expert system to create and rebalance investment portfolio, using technical analysis,” INVESTMENT KNOWLEDGE, vol. 8, no. 29 , pp. 31–44, 2019, [Online]. Available: https://sid.ir/paper/188155/en

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