Dynamic portfolio optimization under uncertainty: a penalty-function-based neural solver

DOI10.1016/J.AMC.2026.130086MaRDI QIDQ7324978zbMATH OpenFDO

Authors Spyridon D. Mourtas

Publication date 4 September 2026

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

Full work available at URL https://doi.org/10.1016/J.AMC.2026.130086

Mathematics Subject Classification ID

Artificial intelligence (68Txx) Mathematical programming (90Cxx) Actuarial science and mathematical finance (91Gxx)

Cites work

• A closer look at the minimum-variance portfolio optimization model
• A New Varying-Parameter Convergent-Differential Neural-Network for Solving Time-Varying Convex QP Problem Constrained by Linear-Equality
• An improved zeroing neural network model for solving the time-varying Yang-Baxter-like matrix equation
• An interval inverse method based on high dimensional model representation and affine arithmetic
• Cardinality-constrained portfolio selection based on collaborative neurodynamic optimization
• Computing Time-Varying ML-Weighted Pseudoinverse by the Zhang Neural Networks
• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• Generalized Markowitz mean–variance principles for multi–period portfolio–selection problems
• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• Modeling human motion with quaternion-based neural networks
• Time-varying mean-variance portfolio selection problem solving via LVI-PDNN
• Time-varying mean-variance portfolio selection under transaction costs and cardinality constraint problem via beetle antennae search algorithm (BAS)

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