Clustering-based return prediction model for stock pre-selection in portfolio optimization using PSO-CNN+MVF.
Mahdi AshrafzadehHasan Mehtari TaheriMahmoud GharehgozlouSarfaraz Hashemkhani ZolfaniPublished in: J. King Saud Univ. Comput. Inf. Sci. (2023)
Keyphrases
- prediction model
- portfolio optimization
- stock market
- stock price
- response surface methodology
- bp neural network
- sharpe ratio
- regression model
- portfolio management
- portfolio selection
- particle swarm optimization pso
- neural network
- stock exchange
- particle swarm optimization
- risk management
- factor analysis
- particle swarm optimisation
- problems involving
- robust optimization
- particle swarm optimization algorithm
- ls svm
- bi objective
- multi objective
- pso algorithm
- global optimization
- evolutionary algorithm
- financial time series
- short term
- non stationary
- optimization algorithm
- financial data
- differential evolution
- transaction costs
- expert systems