Prediction-based mean-variance portfolios with risk budgeting based on neural networks.
Yilin MaYudong WangWeizhong WangChong ZhangPublished in: Expert Syst. Appl. (2023)
Keyphrases
- portfolio optimization
- neural network
- portfolio selection
- investment strategies
- portfolio management
- prediction accuracy
- prediction model
- artificial neural networks to predict
- neural network ensemble
- prediction algorithm
- risk assessment
- neural nets
- stock market
- back propagation
- pattern recognition
- efficient frontier
- risk measures
- chaotic time series
- risk factors
- robust optimization
- multi layer perceptron
- factor analysis
- prediction error
- multilayer perceptron
- risk analysis
- stock exchange
- investment decisions
- optimization methods
- recurrent neural networks
- quasi linear
- fuzzy logic
- decision making
- genetic algorithm