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

DOI10.1155/2019/4189683MaRDI QIDQ2298419zbMATH OpenOpenAlexFDO

Authors Jian Wang, Junseok Kim

Publication date 20 February 2020

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

Copyright license Creative Commons Attribution 4.0 International

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

Mathematics Subject Classification ID

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

Recommendations

• A least squares support vector machine algorithm
• Portfolio selection under possibilistic mean-variance utility and a SMO algorithm
• Credit Risk Evaluation with Least Square Support Vector Machine
• Mean-variance-CVaR model of multiportfolio optimization via linear weighted sum method
• The application of least squares support vector machine in face recognition

Cites work

• scientific article; zbMATH DE number 1843268 (Why is no real title available?)
• Chaos, randomness and multi-fractality in bitcoin market
• Financial portfolio management through the goal programming model: current state-of-the-art
• Markowitz revisited: social portfolio engineering
• Nash equilibrium strategy for a DC pension plan with state-dependent risk aversion: a multiperiod mean-variance framework
• On the Uniform Convergence of Relative Frequencies of Events to Their Probabilities
• Portfolio selection under independent possibilistic information

Cited in

(3)

• European exchange trading funds trading with locally weighted support vector regression
• Two-stage optimization support vector machine for the construction of investment strategy model
• scientific article; zbMATH DE number 5661352 (Why is no real title available?)

Describes a project that uses

Uses Software

• LS-SVMlab

This page was built for publication: Applying least squares support vector machines to mean-variance portfolio analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2298419)