Научный журнал Моделирование, оптимизация и информационные технологииThe scientific journal Modeling, Optimization and Information Technology
cетевое издание
issn 2310-6018

Intellectual decision-making support algorithm on the securities portfolio formation based of the swarm intelligence

Kondrateva O.  

UDC 004.023, 004.89
DOI: 10.26102/2310-6018/2021.33.2.029

  • Abstract
  • List of references
  • About authors

The article discusses the issue of the need for intellectual support for decision-making when managing of the securities portfolio forming process. Modern systems for making investors decisions are based on the classical portfolio management theory and supposed the market efficiency requirement fulfillment, but the modern stock market, both domestic and global, cannot satisfy this condition. For effective decisions, it is necessary to use new methods and models of the portfolio management. To find the optimal portfolio, a modified particle swarm method is used and its advantages are investigated, among which the reduction in the number of objective function computations by 34% or more. The proposed algorithm for intelligent decision support makes it possible of choice according to three aspects: under the method of determining the model parameters, under the financial risk assessment model and under the optimal portfolio structure. The knowledge base contains a database and a precedents base, a base of rules includes indicators of the financial risk assessment model effectiveness aggregated for all precedents. The growth of the precedents base makes it possible to increase the authenticity of the risk measure efficiency assessment and makes it possible to form (or adapt) production rules.

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Kondrateva Olga

Email: kondr_o@mail.ru

Ufa State Aviation Technical University

Ufa, Russia

Keywords: intelligent decision-making support, particle swarm method, nonlinear optimization, portfolio optimization, risk measure

For citation: Kondrateva O. Intellectual decision-making support algorithm on the securities portfolio formation based of the swarm intelligence. Modeling, Optimization and Information Technology. 2021;9(2). Available from: https://moitvivt.ru/ru/journal/pdf?id=975 DOI: 10.26102/2310-6018/2021.33.2.029 (In Russ).

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Revised 06.08.2021

Accepted 11.08.2021

Published 15.08.2021