Article ID Journal Published Year Pages File Type
385125 Expert Systems with Applications 2011 5 Pages PDF
Abstract
► ARX model is used to provide risk and return of selected securities. ► Markowitz methodology is used to minimize portfolios' risks. ► Securities were selected from Brazilian stock market (BOVESPA). ► Effective portfolios could be found with ARX predictor and Markowitz methodology.
Keywords
Related Topics
Physical Sciences and Engineering Computer Science Artificial Intelligence
Preview
An approach to portfolio selection using an ARX predictor for securities' risk and return
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