Inducing stock screening rules for portfolio construction

Inducing stock screening rules for portfolio construction

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Article ID: iaor1992625
Country: United Kingdom
Volume: 42
Issue: 9
Start Page Number: 747
End Page Number: 757
Publication Date: Sep 1991
Journal: Journal of the Operational Research Society
Authors: , ,
Keywords: finance & banking
Abstract:

This study describes a technique originated from the emerging field of machine learning and demonstrates its effectiveness in stock screening. The authors 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.

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