4.6 Article

Global investing risk: a case study of knowledge assessment via rough sets

Journal

ANNALS OF OPERATIONS RESEARCH
Volume 185, Issue 1, Pages 105-138

Publisher

SPRINGER
DOI: 10.1007/s10479-009-0542-3

Keywords

Knowledge discovery; Investing risk assessment; Rough sets; Decision rule mining; Multi-criteria classification; Artificial intelligence; Financial engineering; Missing values

Funding

  1. Polish Ministry of Science and Higher Education

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This paper presents an application of knowledge discovery via rough sets to a real life case study of global investing risk in 52 countries using 27 indicator variables. The aim is explanation of the classification of the countries according to financial risks assessed by Wall Street Journal international experts and knowledge discovery from data via decision rule mining, rather than prediction; i.e. to capture the explicit or implicit knowledge or policy of international financial experts, rather than to predict the actual classifications. Suggestions are made about the most significant attributes for each risk class and country, as well as the minimal set of decision rules needed. Our results compared favorably with those from discriminant analysis and several variations of preference disaggregation MCDA procedures. The same approach could be adapted to other problems with missing data in data mining, knowledge extraction, and different multi-criteria decision problems, like sorting, choice and ranking.

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