Portfolio construction using bootstrapping neural networks: evidence from global stock market

DOI10.1007/S11147-019-09163-YMaRDI QIDQ2211012zbMATH OpenOpenAlexFDO

Authors Hsiao-Fen Hsiao, Jiangchuan Huang, Zheng-Wei Lin

Publication date 10 November 2020

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-019-09163-y

zbMATH Keywords

bootstrapElman neural networkinternational diversificationportfolio construction

Mathematics Subject Classification ID

Computational methods for problems pertaining to game theory, economics, and finance (91-08) Portfolio theory (91G10)

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Cites work

• Algorithm 808
• Bootstrapping regression models
• Estimation of parameters and eigenmodes of multivariate autoregressive models
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 1392848 (Why is no real title available?)
• Neural network-based mean-variance-skewness model for portfolio selection
• Noisy time series prediction using recurrent neural networks and grammatical inference
• Portfolio selection using neural networks
• Recurrent neural network for dynamic portfolio selection
• The bootstrap and Edgeworth expansion
• The jackknife and bootstrap

Cited in

(4)

• Portfolio optimization with a neural network implementation of the coherent market hypothesis
• Global portfolio construction with emphasis on conflicting corporate strategies to maximize stockholder wealth
• Portfolio selection based on a nonlinear neural network: An application on the Istanbul Stock Exchange (ISE30)
• Portfolio selection using neural networks

Describes a project that uses

Uses Software

• ARfit
• bootstrap

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