Mean-Variance Portfolio Allocation Using ARMA-GARCH-Stable and Artificial Neural Network Models.
Nguyen T. AnhMai D. LamBao Q. TaPublished in: IUKM (1) (2023)
Keyphrases
- artificial neural network models
- portfolio selection
- portfolio optimization
- logistic regression
- real estate
- efficient frontier
- portfolio management
- multi layer perceptron
- support vector regression
- investment strategies
- stock market
- resource allocation
- robust optimization
- exchange rate
- utility function
- decision trees
- machine learning
- wavelet analysis
- combinatorial auctions
- decision making
- genetic algorithm
- neural network
- data envelopment analysis
- financial time series
- moving average
- transaction costs
- state space
- garch model
- envy free
- optimal portfolio