Mean-Variance optimal portfolio selection integrated with support vector and fuzzy support vector machines

This study introduces a novel approach integrating a support vector machine (SVM) with an optimal portfolio construction model. Leveraging the Radial Basis Function (RBF) kernel, the SVM identifies assets with higher growth potential. However, due to inherent uncertainties, some input points may not...

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Bibliographic Details

Published in:	Journal of Fuzzy Extension and Applications
Main Authors:	Simrandeep Kaur, Arti Singh, Abha Aggarwal
Format:	Article
Language:	English
Published:	Ayandegan Institute of Higher Education, 2024-07-01
Subjects:	fuzzy support vector machines markowitz mean-variance model portfolio optimization classification prediction fuzzy membership function
Online Access:	https://www.journal-fea.com/article_202834_e5e545f9e4f016aeb96a826b7fba59dc.pdf