Applying least squares support vector machines to mean-variance portfolio analysis

DOI10.1155/2019/4189683zbMATH Open1435.91175OpenAlexW2953819137MaRDI QIDQ2298419FDOQ2298419

Authors: Jian Wang, Junseok Kim 

Publication date: 20 February 2020

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/4189683

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Mathematics Subject Classification ID

Portfolio theory (91G10) Financial applications of other theories (91G80)

Cites Work

• Title not available (Why is that?)
• Portfolio selection under independent possibilistic information
• Financial portfolio management through the goal programming model: current state-of-the-art
• Chaos, randomness and multi-fractality in bitcoin market
• On the Uniform Convergence of Relative Frequencies of Events to Their Probabilities
• Markowitz revisited: social portfolio engineering
• Nash equilibrium strategy for a DC pension plan with state-dependent risk aversion: a multiperiod mean-variance framework

Cited In (3)

• Two-stage optimization support vector machine for the construction of investment strategy model
• European exchange trading funds trading with locally weighted support vector regression
• Title not available (Why is that?)

Uses Software

• LS-SVMlab

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