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

izvorni znanstveni rad

izvorni znanstveni rad

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

Vrsta prilog u knjizi
Tip izvorni znanstveni rad
Godina 2019
Nadređena publikacija Metaheuristic Approaches to Portfolio Optimization
Stranice str. 60-81
DOI 10.4018/978-1-5225-8103-1.ch003
ISSN 2327-5677
Status objavljeno

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.

Ključne riječi

Bayesian Networks, Data science