Recurrent neural network for dynamic portfolio selection

DOI10.1016/J.AMC.2005.08.031zbMath1131.91343OpenAlexW2110237869MaRDI QIDQ2493694

Jih-Jeng Huang, Gwo-Hshiung Tzeng, Mitsuo Gen, Chi-Ming Lin

Publication date: 16 June 2006

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2005.08.031

zbMATH Keywords

neural networkvector autoregression (VAR)dynamic portfolio selectioncross-covariance matricesElman network

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (5)

Portfolio optimization based on downside risk: a mean-semivariance efficient frontier from Dow Jones blue chips ⋮ Selecting Portfolios Given Multiple Eurostoxx-Based Uncertainty Scenarios: A Stochastic Goal Programming Approach from Fuzzy Betas ⋮ Portfolio Selection with Multiple Time Horizons: A Mean Variance—Stochastic Goal Programming Approach ⋮ Portfolio construction using bootstrapping neural networks: evidence from global stock market ⋮ Portfolio Selection from Multiple Benchmarks: A Goal Programming Approach to an Actual Case

Cites Work

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• Generalized autoregressive conditional heteroscedasticity
• Modeling Multiple Times Series with Applications
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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