Naslov
Bayesian Networks and Evolutionary Algorithms as a Tool for Portfolio Simulation and Optimization

Autori
Klepac, Goran ; Mrsic, Leo

Vrsta, podvrsta i kategorija rada
Poglavlja u knjigama, znanstveni

Knjiga
Metaheuristic Approaches to Portfolio Optimization

Urednik/ci
Jhuma, Ray ; Anirban, Mukherjee ; Sadhan, Kumar, Dey ; Klepac, Goran

Izdavač
IGI Global

Godina
2019

Raspon stranica
60-81

ISBN
9781522581031

ISSN
2327-5677

Ključne riječi
Bayesian Networks, data science
(Bayesian Networks, Data science)

Sažetak
This chapter will propose solution how to recognise important factors within portfolio, how to derive new information from existing data and evaluate its importance factor. The chapter will also propose methodology for sensitivity evaluation between factors recognised as important. This information has valuable factors for Bayesian network construction. Such created Bayesian network can be used as simulation tool, as well as tool for portfolio optimization. As a simulation tool, such Bayesian network can be for output analysis regarding potential decisions via decision graphs. Also, as an optimization tool, Bayesian network can be used in way of finding optimal value of decision factors upon expected outputs from portfolio. For achieving this aim, evolutionary algorithms will be used as optimization tool.

Izvorni jezik
Engleski

Znanstvena područja
Informacijske i komunikacijske znanosti

POVEZANOST RADA