Intelligent Engineering Systems through Artificial Neural Networks
69 Application of Taguchi Methods to Manage an Investment Portfolio
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- Ris (Zotero)
- Reference Manager
The Taguchi system of quality engineering (TSQE), also known as robust design in the west, is a philosophy, set of tools, and methodology to systematically stabilize a design. This article extends the application of the TSQE and related methods to the investment domain. Three cases of interest to the investment community are discussed. The first case outlines the development of a signal-to-noise ratio-based investment screening metric. In the second case, product parameter design is used to develop a portfolio management strategy. The third case discusses the use of the Taguchi method (Tmethod) to predict future stock market index using various leading economic indicators. A discussion of the results follows.