Portfolio Return Modelling Using ANFIS

Portfolio Return Modelling Using ANFIS
Authors : Dimple Bohra, Shalini Bhatia
Publication Date: 29-11-2012


Author(s):  Dimple Bohra, Shalini Bhatia

Published in:   International Journal of Engineering Research & Technology

License:  This work is licensed under a Creative Commons Attribution 4.0 International License.

Website: www.ijert.org

Volume/Issue:   Vol.1 - Issue 9 (November - 2012)

e-ISSN:   2278-0181


This paper proposes the modelling of portfolio return using neuro-fuzzy system. The learning capability of neural network is combined with the ability of fuzzy logic to represent human knowledge in the form of fuzzy rules. The proposed model utilizes adaptive neuro fuzzy inference system (ANFIS). In this system, the inputs namely opening price, closing price and the desired return constitutes the training data set. The actual return so obtained by ANFIS is graphically plotted against the desired return in order to judge the accuracy achieved. The advantage of the framework is to help the investor to double check the return which can be gained by combining various investments in commodities so as to mitigate the risk in future investment.


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