Fuzzy rule based expert system for multi assets portfolio optimization

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dc.contributor.advisorSanjay Kumar
dc.contributor.authorBisht, Garima
dc.date.accessioned2020-11-20T09:45:55Z
dc.date.available2020-11-20T09:45:55Z
dc.date.issued2020-09
dc.description.abstractFuzzy logic has been established as an appropriate tool to handle the uncertainty in the system which occurs due to imprecise information, uncertainty, vagueness and other uncontrolled parameters. Portfolio Optimization has always been an important topic for researchers in the area of Financial Mathematics due to its unpredictable behavior. Combination of fuzzy logic and portfolio optimization problems gives an efficient way of selecting the optimal portfolio. Portfolio optimization means combining assets in such a way so as to get maximum return or minimum risk. In the present study we develop multi input single output (MISO) Mamdani FIS for three assets to maximize return and minimize risk using triangular and gaussian membership functions. We also compare the performance of different FIS by calculating the RMSE values as compared to statistical model for portfolio optimization. Chapter 1. gives the introduction of FIS and portfolio optimization. Chapter 2. gives the literature review pertaining to FIS and applications of fuzzy logic in portfolio optimization. Chapter 3. gives materials and methods used during course of investigations. Chapter 4. gives the results obtained by Mamdani FIS. The work has been summarized in Chapter 5.en_US
dc.identifier.urihttps://krishikosh.egranth.ac.in/handle/1/5810155390
dc.keywordsfuzzy logic, optimizationen_US
dc.language.isoEnglishen_US
dc.pages81en_US
dc.publisherG.B. Pant University of Agriculture and Technology, Pantnagar - 263145 (Uttarakhand)en_US
dc.research.problemFuzzy Logicen_US
dc.subMathematicsen_US
dc.themeExpert Systemen_US
dc.these.typeM.Scen_US
dc.titleFuzzy rule based expert system for multi assets portfolio optimizationen_US
dc.typeThesisen_US
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