Identifying Regularities in Stock Portfolio Tilting

Susmaga R, Michalowski W, & Slowinski R (1997). Identifying Regularities in Stock Portfolio Tilting. IIASA Interim Report. IIASA, Laxenburg, Austria: IR-97-066

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Abstract

The paper deals with issues associated with identification of stocks generating abnormal returns. Following the findings of a finance theory regarding portfolio tilting, a set of price-related stocks' attributes was analyzed. The analysis was conducted with the help of rough sets methodology which allows to distinguish "important" attributes for problem description, and to generate decision rules which can be later used to predict stocks' performance. Validity of the approach was tested on the Toronto Stock Exchange data.

Item Type: Monograph (IIASA Interim Report)
Research Programs: Decision Analysis and Support (DAS)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:08
Last Modified: 25 Oct 2016 05:17
URI: http://pure.iiasa.ac.at/5229

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