Intellectual Support of Investment Decisions Based on a Clustering of the Correlation Graph of Securities

Abstract

The paper presents a report on implementation of expert system that to be used to form the investment policy based on cluster analysis (including creation of correlation graphs, cluster forming and diversified portfolio synthesis). The paper examines a complex of algorithms developed for synthesis of investors’ diversified portfolios, which provide high reliability and stability of decisions under possible trend deviations and with the existence of ‘noisy’ components. Diversified portfolio synthesis software was developed based on the principle of optimum decision-making in financial policy management. Expert system is working perfectly in condition of unstable Russian securities market, but could be used for unstable sectors of American market, such as Real Estates, or Bonds. Key-Words: Diversify Portfolio, Investor, Expert System, Mathematical Model, Discrete Space, Correlation Structure, Dynamic Trajectory, Non-equilibrium Stochastic System, Cluster Analysis.

Cite this paper

@inproceedings{Lokshina2002IntellectualSO, title={Intellectual Support of Investment Decisions Based on a Clustering of the Correlation Graph of Securities}, author={Izabella Lokshina}, year={2002} }