Comparing Artificial Intelligence Systems for Stock Portfolio Selection

The goal of an artificial intelligence decision support system is to provide the human user with an optimized decision recommendation when operating under uncertainty in complex environments. The particular focus of our discussion is the investment domain – the goal of investment decision-making is to select an optimal portfolio that satisfies the investor’s objective, or, in other words, to maximize the investment returns under the constraints given by investors. The investment domain contains numerous and diverse information sources, such as expert opinions, news releases and economic figures, and so on. This presents the potential for better decision support, but poses the challenge of building a decision support agent for selecting, accessing, filtering, evaluating, incorporating information from different sources, and for making final investment recommendations. In this study we compare three most popular artificial intelligence systems for portfolio selection. We found that the artificial intelligence systems outperform human portfolio manager and market in 1997 and 2000. Investment Problem