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A new approach to portfolio selection based on forecasting

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A new approach to portfolio selection based on forecasting

dc.contributor.author	Corberán-Vallet, Ana
dc.contributor.author	Vercher González, Enriqueta
dc.contributor.author	Segura, José V.
dc.contributor.author	Bermúdez Edo, José Domingo
dc.date.accessioned	2023-06-16T08:20:59Z
dc.date.available	2023-06-17T04:45:06Z
dc.date.issued	2023	es_ES
dc.identifier.citation	Corberán-Vallet, A., Vercher, E., Segura, J. V., & Bermúdez, J. D. (2023). A new approach to portfolio selection based on forecasting. Expert Systems with Applications, 215, 119370.	es_ES
dc.identifier.uri	https://hdl.handle.net/10550/87980
dc.description.abstract	In this paper we analyze the portfolio selection problem from a novel perspective based on the analysis and prediction of the time series corresponding to the portfolio’s value. Namely, we define the value of a particular portfolio at the time of its acquisition. Using the time series of historical prices of the different financial assets, we calculate backward the value that said portfolio would have had in past time periods. A damped trend model is then used to analyze this time series and to predict the future values of the portfolio, providing estimates of the mean and variance for different forecasting horizons. These measures are used to formulate the portfolio selection problem, which is solved using a multi-objective genetic algorithm. To show the performance of this procedure, we use a data set of asset prices from the New York Stock Market.	es_ES
dc.language.iso	en	es_ES
dc.publisher	Elsevier	es_ES
dc.subject	portfolio optimization	es_ES
dc.subject	finance	es_ES
dc.subject	time series analysis	es_ES
dc.subject	forecasting	es_ES
dc.subject	multi-objective genetic algorithm	es_ES
dc.title	A new approach to portfolio selection based on forecasting	es_ES
dc.type	journal article	es_ES
dc.subject.unesco	UNESCO::CIENCIAS TECNOLÓGICAS	es_ES
dc.identifier.doi	10.1016/j.eswa.2022.119370	es_ES
dc.accrualmethod	CI	es_ES
dc.embargo.terms	0 days	es_ES
dc.type.hasVersion	VoR	es_ES
dc.rights.accessRights	open access	es_ES