The comparison of neural network, ANFIS and AR model in expected return prediction and comparison of memetic and symbiotic organism search in constrained portfolio optimization

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

Rezaei Sayyed Mahdi; BAGHJARI MAHMOUD; MAZAHERIFAR POORIA

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2019 | Volume:12 | Issue:43 Page(s): 109-119

Download Full-Text

Persian Verion

View:

521

Download:

Cites:

Information Journal Paper

Title

The comparison of neural network, ANFIS and AR model in expected return prediction and comparison of memetic and symbiotic organism search in constrained portfolio optimization

Author(s)

Rezaei Sayyed Mahdi | BAGHJARI MAHMOUD | MAZAHERIFAR POORIA | Issue Writer Certificate

Keywords

portfolio optimizationQ2

SOS algorithmQ1

Memetic AlgorithmQ1

Neural NetworkQ3

ANFISQ1

Abstract

In this paper, Symbiotic organism search and Memetic Algorithms are used to solve constrained mean-semi variance portfolio problem. Then AR model, Neural Network and ANFIS are compared to predict expected return of stocks. 23 active stocks from June 22, 2014 to Jan 21, 2016 are used as our sample. The results indicate that, Memetic Algorithm despite its longer time consuming has better performance than SOS algorithm. And ANFIS has more accurate prediction than others in predicting expected rate of return. Finally, we compare expected and real efficient frontier, the results indicate that, in lower risk, ANFIS has better prediction accuracy. So in that area, we can allocate our asset with higher certainty.

Cites

No record.

References

No record.

Cite

APA: Copy

Rezaei, Sayyed Mahdi, BAGHJARI, MAHMOUD, & MAZAHERIFAR, POORIA. (2019). The comparison of neural network, ANFIS and AR model in expected return prediction and comparison of memetic and symbiotic organism search in constrained portfolio optimization. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 12(43 ), 109-119. SID. https://sid.ir/paper/200093/en

Vancouver: Copy

Rezaei Sayyed Mahdi, BAGHJARI MAHMOUD, MAZAHERIFAR POORIA. The comparison of neural network, ANFIS and AR model in expected return prediction and comparison of memetic and symbiotic organism search in constrained portfolio optimization. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2019;12(43 ):109-119. Available from: https://sid.ir/paper/200093/en

IEEE: Copy

Sayyed Mahdi Rezaei, MAHMOUD BAGHJARI, and POORIA MAZAHERIFAR, “The comparison of neural network, ANFIS and AR model in expected return prediction and comparison of memetic and symbiotic organism search in constrained portfolio optimization,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 12, no. 43 , pp. 109–119, 2019, [Online]. Available: https://sid.ir/paper/200093/en

Related Journal Papers