Fuzzy Portfolio Selection with Sugeno Type Fuzzy Neural Network: Investing in the Mexican Stock Market
The objective of this research is to compare the returns of the portfolios developed by the proposed methodology called Fuzzy Portfolio Selection with Sugeno Type Fuzzy Neural Network against Markowitz’s portfolio theory; to identify the best investment model. For this purpose, we used ten stock tim...
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| Format: | Article |
| Language: | English |
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Instituto Mexicano de Ejecutivos de Finanzas
2021-11-01
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| Series: | Revista Mexicana de Economía y Finanzas Nueva Época REMEF |
| Subjects: | |
| Online Access: | https://www.remef.org.mx/index.php/remef/article/view/583 |
| _version_ | 1811194739599343616 |
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| author | Judith Jazmin Castro Pérez José Eduardo Medina Reyes |
| author_facet | Judith Jazmin Castro Pérez José Eduardo Medina Reyes |
| author_sort | Judith Jazmin Castro Pérez |
| collection | DOAJ |
| description | The objective of this research is to compare the returns of the portfolios developed by the proposed methodology called Fuzzy Portfolio Selection with Sugeno Type Fuzzy Neural Network against Markowitz’s portfolio theory; to identify the best investment model. For this purpose, we used ten stock time series of the Mexican market in daily format from January 2, 2015, to May 15, 2020, to get the portfolios every week from May 15 to June 12, 2020. The principal result is that our methodology recognized the behavior of each share, generates better risk management, and higher returns in comparison with the traditional techniques. The recommendation is to evaluate other stocks and markets to verify the efficiency of our model, the limitation is that a fundamental analysis must precede the tool, and the originality is the new technique proposed. The main conclusion is that the portfolio selection model based on fuzzy neural networks generated two models that do not have negative returns in any week, the cumulative return obtained was up to 15.68%. |
| first_indexed | 2024-04-12T00:31:40Z |
| format | Article |
| id | doaj.art-0e1cc095d71743a2aa9e83f0bf0435e6 |
| institution | Directory Open Access Journal |
| issn | 2448-6795 |
| language | English |
| last_indexed | 2024-04-12T00:31:40Z |
| publishDate | 2021-11-01 |
| publisher | Instituto Mexicano de Ejecutivos de Finanzas |
| record_format | Article |
| series | Revista Mexicana de Economía y Finanzas Nueva Época REMEF |
| spelling | doaj.art-0e1cc095d71743a2aa9e83f0bf0435e62022-12-22T03:55:18ZengInstituto Mexicano de Ejecutivos de FinanzasRevista Mexicana de Economía y Finanzas Nueva Época REMEF2448-67952021-11-01160e583e58310.21919/remef.v16i0.583451Fuzzy Portfolio Selection with Sugeno Type Fuzzy Neural Network: Investing in the Mexican Stock MarketJudith Jazmin Castro Pérez0José Eduardo Medina Reyes1Universidad Tecnológica de México – UNITEC MÉXICO – Campus QuerétaroInstituto Politécnico Nacional, MéxicoThe objective of this research is to compare the returns of the portfolios developed by the proposed methodology called Fuzzy Portfolio Selection with Sugeno Type Fuzzy Neural Network against Markowitz’s portfolio theory; to identify the best investment model. For this purpose, we used ten stock time series of the Mexican market in daily format from January 2, 2015, to May 15, 2020, to get the portfolios every week from May 15 to June 12, 2020. The principal result is that our methodology recognized the behavior of each share, generates better risk management, and higher returns in comparison with the traditional techniques. The recommendation is to evaluate other stocks and markets to verify the efficiency of our model, the limitation is that a fundamental analysis must precede the tool, and the originality is the new technique proposed. The main conclusion is that the portfolio selection model based on fuzzy neural networks generated two models that do not have negative returns in any week, the cumulative return obtained was up to 15.68%.https://www.remef.org.mx/index.php/remef/article/view/583portfolio theoryfuzzy theoryfuzzy neural networkfinancial marketsmarkowitz’s portfolio theory |
| spellingShingle | Judith Jazmin Castro Pérez José Eduardo Medina Reyes Fuzzy Portfolio Selection with Sugeno Type Fuzzy Neural Network: Investing in the Mexican Stock Market Revista Mexicana de Economía y Finanzas Nueva Época REMEF portfolio theory fuzzy theory fuzzy neural network financial markets markowitz’s portfolio theory |
| title | Fuzzy Portfolio Selection with Sugeno Type Fuzzy Neural Network: Investing in the Mexican Stock Market |
| title_full | Fuzzy Portfolio Selection with Sugeno Type Fuzzy Neural Network: Investing in the Mexican Stock Market |
| title_fullStr | Fuzzy Portfolio Selection with Sugeno Type Fuzzy Neural Network: Investing in the Mexican Stock Market |
| title_full_unstemmed | Fuzzy Portfolio Selection with Sugeno Type Fuzzy Neural Network: Investing in the Mexican Stock Market |
| title_short | Fuzzy Portfolio Selection with Sugeno Type Fuzzy Neural Network: Investing in the Mexican Stock Market |
| title_sort | fuzzy portfolio selection with sugeno type fuzzy neural network investing in the mexican stock market |
| topic | portfolio theory fuzzy theory fuzzy neural network financial markets markowitz’s portfolio theory |
| url | https://www.remef.org.mx/index.php/remef/article/view/583 |
| work_keys_str_mv | AT judithjazmincastroperez fuzzyportfolioselectionwithsugenotypefuzzyneuralnetworkinvestinginthemexicanstockmarket AT joseeduardomedinareyes fuzzyportfolioselectionwithsugenotypefuzzyneuralnetworkinvestinginthemexicanstockmarket |