Recurrent neural network for dynamic portfolio selection

DOI10.1016/J.AMC.2005.08.031MaRDI QIDQ2493694zbMATH OpenOpenAlexFDO

Authors Chi-Ming Lin, Jih-Jeng Huang, Mitsuo Gen, Gwo-Hshiung Tzeng

Publication date 16 June 2006

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

Full work available at URL https://doi.org/10.1016/j.amc.2005.08.031

zbMATH Keywords

neural networkdynamic portfolio selectioncross-covariance matricesElman networkvector autoregression (VAR)

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 51121 (Why is no real title available?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• Modeling Multiple Times Series with Applications

Cited in

(10)

• Time-varying minimum-cost portfolio insurance problem via an adaptive fuzzy-power LVI-PDNN
• Portfolio optimization based on downside risk: a mean-semivariance efficient frontier from Dow Jones blue chips
• Portfolio selection from multiple benchmarks: a goal programming approach to an actual case
• Time-varying mean-variance portfolio selection problem solving via LVI-PDNN
• Portfolio selection using neural networks
• Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns
• Portfolio construction using bootstrapping neural networks: evidence from global stock market
• Portfolio Selection with Multiple Time Horizons: A Mean Variance—Stochastic Goal Programming Approach
• scientific article; zbMATH DE number 7470457 (Why is no real title available?)
• Selecting Portfolios Given Multiple Eurostoxx-Based Uncertainty Scenarios: A Stochastic Goal Programming Approach from Fuzzy Betas

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