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Fakulteta za informacijske študije v Novem mestu (FIS)
  • Bayesian networks and evolutionary algorithms as a tool for portfolio simulation and optimization
    Klepac, Goran ; Mršić, Leo
    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.
    Vrsta gradiva - članek, sestavni del
    Leto - 2019
    Jezik - angleški
    COBISS.SI-ID - 65276419
    DOI