Volatility forecasting for low-volatility portfolio selection in the US and the Korean equity markets.
Saejoon KimPublished in: J. Exp. Theor. Artif. Intell. (2018)
Keyphrases
- financial markets
- portfolio selection
- stock market
- garch model
- exchange rate
- stock price
- short term
- financial time series
- multistage stochastic
- portfolio optimization
- portfolio management
- risk management
- long term
- stock exchange
- trading systems
- financial data
- transaction costs
- investment strategies
- neural network
- support vector regression
- non stationary