標題: | Recurrent neural network for dynamic portfolio selection |
作者: | Lin, CM Huang, JJ Gen, M Tzeng, GH 科技管理研究所 Institute of Management of Technology |
關鍵字: | neural network;dynamic portfolio selection;Elman network;cross-covariance matrices;vector autoregression (VAR) |
公開日期: | 15-Apr-2006 |
摘要: | In this paper, the dynamic portfolio selection problem is considered. The Elman network is first designed to simulate the dynamic security behavior. Then, the dynamic covariance matrix is estimated by the cross-covariance matrices. Finally, the dynamic portfolio selection model is formulated. In addition, a numerical example is used to demonstrate the proposed method and compare with the vector autoregression (VAR) model. On the basis of the numerical example, we can conclude that the proposed method outperform to the VAR model and provide the accurate dynamic portfolio selection. (c) 2005 Elsevier Inc. All rights reserved. |
URI: | http://dx.doi.org/10.1016/j.amc.2005.08.031 http://hdl.handle.net/11536/12373 |
ISSN: | 0096-3003 |
DOI: | 10.1016/j.amc.2005.08.031 |
期刊: | APPLIED MATHEMATICS AND COMPUTATION |
Volume: | 175 |
Issue: | 2 |
起始頁: | 1139 |
結束頁: | 1146 |
Appears in Collections: | Articles |
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