Portfolio Optimization Using Neuro Fuzzy-System in Indian Stock Market

Journal of Global Research in Computer Science, Vol. 3, No. 4, pp. 44-47, 2012

Posted: 4 Oct 2013

See all articles by M. Gunasekaran

M. Gunasekaran

Department of MCA, Park College of Engineering and Technology

K.S. Ramaswami

Coimbatore Institute of Technology - Department of Mathematics

Date Written: April 5, 2012

Abstract

This paper describes a portfolio optimization system by using Neuro-Fuzzy framework in order to manage stock portfolio. It is great importance to stock investors and applied researchers. The proposed portfolio optimization approach Neuro-Fuzzy System reasoning in order to make a more yields from the stock portfolio, and hence maximize return and minimize risk of a stock portfolio through diversification and right investment allocation to the particular stock under uncertainty. To evaluate the performance of forecasting and optimization system, BSE Sensex index of India considered as benchmarks in this study to measure efficient forecasting models. The results show that the proposed Neuro-Fuzzy system produces much higher accuracy when compared to other portfolio models.

Suggested Citation

Gunasekaran, M. and Ramaswami, K.S., Portfolio Optimization Using Neuro Fuzzy-System in Indian Stock Market (April 5, 2012). Journal of Global Research in Computer Science, Vol. 3, No. 4, pp. 44-47, 2012, Available at SSRN: https://ssrn.com/abstract=2335933

M. Gunasekaran (Contact Author)

Department of MCA, Park College of Engineering and Technology ( email )

Kaniyur(PO)
Coimbatore
Coimbatore, 641659
India

K.S. Ramaswami

Coimbatore Institute of Technology - Department of Mathematics ( email )

Coimbatore
India

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