Naslov
Particle Filters in Decision Making Problems under Uncertainty

Autori
Kostanjčar, Zvonko : Jeren, Branko : Cerovec, Jurica

Izvornik
Automatika : časopis za automatiku, mjerenje, elektroniku, računarstvo i komunikacije (0005-1144) 50 (2009), 3-4; 245-251

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Uncertainty representation; Particle filters; Scenario trees

Sažetak
In problems of decision making under uncertainty, we are often faced with the problem of representing the uncertainties in a form suitable for quantitative models. Huge databases for the financial system now exist that facilitate the analysis of uncertainties representation. In portfolio management, one has to decide how much wealth to put in each asset. In this paper we present a decision making process that incorporates particle filters and a genetic algorithm into a state dependent dynamic portfolio optimization system. We propose particle filters and scenario trees as a means of capturing uncertainty in future asset returns. Genetic algorithm was used as an optimization method in scenario generation, and for determining the asset allocation. The proposed method shows better results in comparison with the standard mean variance strategy according to Sharpe ratio.

Izvorni jezik
Engleski

Znanstvena područja
Elektrotehnika, Računarstvo, Ekonomija

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