Black-Litterman Model and Momentum Strategy: Evidence of Taiwan Top 50 ETF.
Shyh-Weir TzangChun-Ping ChangChih-Hsing HungYung-Shun TsaiPublished in: IMIS (2020)
Keyphrases
- probabilistic model
- network model
- high level
- formal model
- objective function
- computational model
- information systems
- artificial neural networks
- parameter estimation
- theoretical analysis
- management system
- empirical data
- neural network model
- statistical model
- theoretical framework
- em algorithm
- digital images
- data mining
- control system
- data structure
- bayesian networks
- artificial intelligence
- genetic algorithm