Inducing Stock Screening Rules for Portfolio Construction
作者:
TamKar Yan,
KiangMelody Y.,
ChiRobert T. H.,
期刊:
Journal of the Operational Research Society
(Taylor Available online 1991)
卷期:
Volume 42,
issue 9
页码: 747-757
ISSN:0160-5682
年代: 1991
DOI:10.1057/jors.1991.145
出版商: Taylor&Francis
关键词: Expert Systems;Machine Learning;Stock Screening;Portfolio Construction
数据来源: Taylor
摘要:
AbstractThis study describes a technique originated from the emerging field of machine learning and demonstrates its effectiveness in stock screening. We have derived screening rules by applying a rule induction method, constructed portfolios using the rules, and evaluated the portfolios' performance using the Sharpe, Treynor and Jensen indexes. Results indicate that regularities among stocks can be identified, and portfolios so constructed outperformed the NYSE Composite index and the S&P 500 over the same period.
点击下载:
PDF (5147KB)
返 回