{"title":"Forecasting Startup Return using Artificial Intelligence Methods and Econometric Models and Portfolio Optimization Using VaR and C-VaR","authors":"Milad Shahvaroughi Farahani, A. Esfahani","doi":"10.59615/ijie.2.1.78","DOIUrl":null,"url":null,"abstract":"In this paper, we have tried to study the main role of startups in economy, their characteristics, main goals and etc. The main goal of article is prediction of startup's return using artificial intelligence methods such as genetic algorithm (GA) and artificial neural network (ANN). Some global indices such as S&P500, DJAI, and economic indicators such as 10 years Treasury yield, Wilshire 5000 Total Market Full Cap Index along with some other special indicators in startups like team, idea, timing and etc. are used as input variables. GA is used as feature selection and finding the most important variables. ANN is used as an optimization model and prediction of startup's returns. We used econometric models such as regression analysis. We have estimated Value at risk (VaR) and Conditional Value at risk (C-VAR) for considered portfolios including three startups (public company) such as Dropbox, Inc. (DBX), Scout24 SE (G24.DE) and TIE.AS and optimal portfolio formation. The results show that AI based methods are more powerful in prediction of startup's return. On the other hand, VaR and C-VaR models are very beneficial approach in minimizing risk and maximizing return.","PeriodicalId":31435,"journal":{"name":"International Journal of Innovation in Mechanical Engineering and Advanced Materials","volume":"37 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2022-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Innovation in Mechanical Engineering and Advanced Materials","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.59615/ijie.2.1.78","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
Abstract
In this paper, we have tried to study the main role of startups in economy, their characteristics, main goals and etc. The main goal of article is prediction of startup's return using artificial intelligence methods such as genetic algorithm (GA) and artificial neural network (ANN). Some global indices such as S&P500, DJAI, and economic indicators such as 10 years Treasury yield, Wilshire 5000 Total Market Full Cap Index along with some other special indicators in startups like team, idea, timing and etc. are used as input variables. GA is used as feature selection and finding the most important variables. ANN is used as an optimization model and prediction of startup's returns. We used econometric models such as regression analysis. We have estimated Value at risk (VaR) and Conditional Value at risk (C-VAR) for considered portfolios including three startups (public company) such as Dropbox, Inc. (DBX), Scout24 SE (G24.DE) and TIE.AS and optimal portfolio formation. The results show that AI based methods are more powerful in prediction of startup's return. On the other hand, VaR and C-VaR models are very beneficial approach in minimizing risk and maximizing return.
本文试图对创业公司在经济中的主要作用、特点、主要目标等进行研究。本文的主要目的是利用遗传算法(GA)和人工神经网络(ANN)等人工智能方法预测创业公司的回报。标准普尔500指数、道琼斯工业平均指数等全球指数,10年期国债收益率、Wilshire 5000 Total Market Full Cap Index等经济指标,以及团队、创意、时机等创业公司的特殊指标作为输入变量。遗传算法用于特征选择和寻找最重要的变量。采用人工神经网络作为创业公司收益的优化模型和预测。我们使用了回归分析等计量经济模型。我们对考虑的投资组合进行了风险价值(VaR)和条件风险价值(C-VAR)估计,其中包括三家初创公司(上市公司),如Dropbox, Inc. (DBX), Scout24 SE (G24.DE)和TIE。AS与最优投资组合形成。结果表明,基于人工智能的方法在预测创业公司的回报方面更加强大。另一方面,VaR和C-VaR模型是实现风险最小化和收益最大化的非常有益的方法。