Time-varying mean-variance portfolio selection problem solving via LVI-PDNN

DOI10.1016/J.COR.2021.105582OpenAlexW3203729177MaRDI QIDQ2669682FDOQ2669682

Authors: Vasilios N. Katsikis, Spyridon D. Mourtas, Predrag S. Stanimirović, Shuai Li, Xinwei Cao 

Publication date: 9 March 2022

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2021.105582

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zbMATH Keywords

quadratic programmingportfolio selectiontime-varying systemscontinuous neural networks

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• Title not available (Why is that?)
• Portfolio selection using neural networks
• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• Neural network-based mean-variance-skewness model for portfolio selection
• The general mean-variance portfolio selection problem
• Optimal rebalancing of portfolios with transaction costs
• A heuristic process on the existence of positive bases with applications to minimum-cost portfolio insurance in \(C[a, b]\)
• Time-varying minimum-cost portfolio insurance under transaction costs problem via beetle antennae search algorithm (BAS)
• Time-varying mean-variance portfolio selection under transaction costs and cardinality constraint problem via beetle antennae search algorithm (BAS)
• Time-varying matrix eigenanalyses via Zhang neural networks and look-ahead finite difference equations
• A closer look at the minimum-variance portfolio optimization model
• Generalized Markowitz mean–variance principles for multi–period portfolio–selection problems

Cited In (3)

• Iterative methods based on low-rank matrix for solving the Yang-Baxter-like matrix equation
• Time-varying minimum-cost portfolio insurance problem via an adaptive fuzzy-power LVI-PDNN
• A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint

Uses Software

• ORPIT

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