Portfolio Optimization for Multi-stage Capital Investment with Neural Networks.
Yanglan ZhangYu HuaPublished in: ISNN (2) (2004)
Keyphrases
- multistage
- portfolio optimization
- portfolio management
- neural network
- investment decisions
- portfolio selection
- robust optimization
- lot sizing
- sharpe ratio
- stochastic programming
- stock market
- problems involving
- factor analysis
- single stage
- risk management
- dynamic programming
- bi objective
- optimization methods
- stock exchange
- stock price
- genetic algorithm
- transaction costs
- optimal policy
- long run
- short term
- network architecture
- optimization problems