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

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  • Salvatore Greco
  • Benedetto Matarazzo
  • Roman Slowinski
  • Stelios Zanakis

Abstract

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. Copyright Springer Science+Business Media, LLC 2011

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  • Salvatore Greco & Benedetto Matarazzo & Roman Slowinski & Stelios Zanakis, 2011. "Global investing risk: a case study of knowledge assessment via rough sets," Annals of Operations Research, Springer, vol. 185(1), pages 105-138, May.
    • Handle: RePEc:spr:annopr:v:185:y:2011:i:1:p:105-138:10.1007/s10479-009-0542-3
    DOI: 10.1007/s10479-009-0542-3
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    References listed on IDEAS

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    Cited by:

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    2. Shivam Gupta & Sachin Modgil & Samadrita Bhattacharyya & Indranil Bose, 2022. "Artificial intelligence for decision support systems in the field of operations research: review and future scope of research," Annals of Operations Research, Springer, vol. 308(1), pages 215-274, January.
    3. Victor Rosemberg Reis Mota & Carlos Francisco Simões Gomes & Diogo Ferreira Lima Silva & Marcos Santos, 2024. "The novel hybrid multiple criteria decision method BWM-Moora-N applied for investment funds prioritization," Operational Research, Springer, vol. 24(3), pages 1-43, September.
    4. Du, Wen Sheng & Hu, Bao Qing, 2017. "Dominance-based rough fuzzy set approach and its application to rule induction," European Journal of Operational Research, Elsevier, vol. 261(2), pages 690-703.
    5. Liu, Jiapeng & Liao, Xiuwu & Huang, Wei & Yang, Jian-bo, 2018. "A new decision-making approach for multiple criteria sorting with an imbalanced set of assignment examples," European Journal of Operational Research, Elsevier, vol. 265(2), pages 598-620.
    6. Dong-Ling Xu, 2012. "An introduction and survey of the evidential reasoning approach for multiple criteria decision analysis," Annals of Operations Research, Springer, vol. 195(1), pages 163-187, May.
    7. Julio Cezar Soares Silva & Diogo Ferreira de Lima Silva & Luciano Ferreira & Adiel Teixeira de Almeida-Filho, 2022. "A dominance-based rough set approach applied to evaluate the credit risk of sovereign bonds," 4OR, Springer, vol. 20(1), pages 139-164, March.
    8. Geng, Ruibin & Bose, Indranil & Chen, Xi, 2015. "Prediction of financial distress: An empirical study of listed Chinese companies using data mining," European Journal of Operational Research, Elsevier, vol. 241(1), pages 236-247.

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