A one-layer recurrent neural network for constrained pseudoconvex optimization and its application for dynamic portfolio optimization.
Qingshan LiuZhishan GuoJun WangPublished in: Neural Networks (2012)
Keyphrases
- portfolio optimization
- recurrent neural networks
- robust optimization
- optimization methods
- echo state networks
- portfolio management
- portfolio selection
- problems involving
- factor analysis
- optimization problems
- recurrent networks
- risk management
- neural network
- feed forward
- stock market
- stock price
- bi objective
- stock exchange
- optimization algorithm
- long term
- artificial neural networks
- decision making
- evolutionary algorithm
- combinatorial optimization
- optimization method
- machine learning