Identifying Regularities in Stock Portfolio Tilting

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/4354 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/4354 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/4354 archive 351 disk0/00/00/52/29 2016-01-15 02:08:55 2021-08-27 17:16:03 2016-01-15 02:08:55 monograph show 2 Susmaga R. 7623 Michalowski W. AL1000 Slowinski R. Identifying Regularities in Stock Portfolio Tilting pub iis_ecn iis_met prog_das 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. 1997-09 published IR-97-066 IR-97-066 1600 2189 public interim_report IIASA, Laxenburg, Austria 21 FALSE info:eu-repo/semantics/book