Promotion of Effective Level of Investment Management in Iran Capital Market using Artificial Neural Network and Fuzzy Logic

Subject Areas : Journal of Investment Knowledge

Hossein  Amouzad Mahdiraji ¹ (Financial Management, PhD. Armenia National Academy of Science)

Received: 2018-01-11 Accepted : 2018-04-10 Published : 2019-09-23

Keywords: portfolio, Investment Management, Markowitz Model, Artificial Neural Network, Fuzzy Logic, Genetic algorithm,

Abstract :

One of the most important problems in capital market is allocating financial resources in an optimal fashion. In an effective capital market, from an operational point of view, the capital is allocated for the best investment option. Therefore, in order to establish more output, making use of appropriate management tools is a step toward more effective market management of transactions. Regarding backgrounds of applying Artificial Neural Networks and Fuzzy Logic in stocks investment and financial prediction, applying them in selecting an appropriate portfolio can lead to desired results for investors. The major goal of the current research is to achieve an optimal investment portfolio in capital market by applying Artificial Neural Network and Fuzzy Logic. Accompanied by Markowitz Model, models were used which were created through Artificial Neural Network. In order to establish investment portfolio, some of those companies were selected which were active in Tehran stock exchange, and which have had positive efficiency from the year 1386 to 1395. In order to evaluate the suggested portfolios in different conditions, the output of different portfolios based on the monthly and yearly output of the member companies were compared and optimization of suggested portfolios using genetic algorithm were carried out. The study shows that using the Fuzzy models versus mentioned models would provide higher output for the investors.    

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