Research of Building Intelligent Investment Decision Mode for Investment Portfolio - Using Taiwan Electronic Stock as an Example

被引：0
|
作者：
Ho, Wen-Rong Jerry [1 ]
Liu, C. H. [2 ]
Chen, H. W. [3 ]
机构：
[1] Chinese Culture Univ, Dept Banking & Finance, 55,Hwa Kang Rd, Taipei 111, Taiwan
[2] Kainan Univ, Dept Informat Management, Taoyuan 338, Taiwan
[3] Taiwan Cheer Champ Co Ltd, Taipei, Taiwan
来源：
REVIEW OF PACIFIC BASIN FINANCIAL MARKETS AND POLICIES | 2010年 / 13卷 / 04期
关键词：
Back-propagation neural network; investment portfolio; sliding window; stock selection strategy;
D O I：
10.1142/S0219091510002104
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This research uses all of the listed electronic stocks in the Taiwan Stock Exchange as a sample to test the performance of the return rate of stock prices. In addition, this research compares it with the electronic stock returns. The empirical result shows that no matter which kind of stock selection strategy we choose, a majority of the return rate is higher than that of the electronics index. Evident in the results, the predicted effect of BPNN is better than that of the general average decentralized investment strategy. Furthermore, the low price-to-earning ratio and the low book-to-market ratio have a significant long-term influence.
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页码：621 / 645
页数：25
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