Neural network-based mean-variance-skewness model for portfolio selection | |
Yu, Lean; Wang, Shouyang; Lai, Kin Keung | |
刊名 | COMPUTERS & OPERATIONS RESEARCH
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2008 | |
卷号 | 35期号:1页码:34-46 |
关键词 | mean-variance-skewness model portfolio selections radial basis function neural network forecasting trading strategy risk preference |
ISSN号 | 0305-0548 |
DOI | 10.1016/j.cor.2006.02.012 |
通讯作者 | Lai, Kin Keung(mskklai@cityu.edu.hk) |
英文摘要 | In this study, a novel neural network-based mean-variance-skewness model for optimal portfolio selection is proposed integrating different forecasts and trading strategies, as well as investors' risk preference. Based on the Lagrange multiplier theory in optimization and the radial basis function (RBF) neural network, the model seeks to provide solutions satisfying the trade-off conditions of mean-variance-skewness. The feasibility of the RBF network-based mean-variance-skewness model is verified with a simulation experiment. The experimental results show that, for all examined investor risk preferences and investment assets, the proposed model is a fast and efficient way of solving the trade-off in the mean-variance-skewness portfolio problem. In addition, we also find that the proposed approach can also be used as an alternative tool for evaluating various forecasting models. (C) 2006 Elsevier Ltd. All rights reserved. |
WOS研究方向 | Computer Science ; Engineering ; Operations Research & Management Science |
语种 | 英语 |
出版者 | PERGAMON-ELSEVIER SCIENCE LTD |
WOS记录号 | WOS:000250165500004 |
内容类型 | 期刊论文 |
源URL | [http://ir.imr.ac.cn/handle/321006/92802] ![]() |
专题 | 金属研究所_中国科学院金属研究所 |
通讯作者 | Lai, Kin Keung |
作者单位 | 1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 2.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 3.Chinese Acad Sci, Grad Sch Chinese Acad Sci, Sch Management, Beijing 100039, Peoples R China 4.Hunan Univ, Coll Business Adm, Changsha 410082, Peoples R China |
推荐引用方式 GB/T 7714 | Yu, Lean,Wang, Shouyang,Lai, Kin Keung. Neural network-based mean-variance-skewness model for portfolio selection[J]. COMPUTERS & OPERATIONS RESEARCH,2008,35(1):34-46. |
APA | Yu, Lean,Wang, Shouyang,&Lai, Kin Keung.(2008).Neural network-based mean-variance-skewness model for portfolio selection.COMPUTERS & OPERATIONS RESEARCH,35(1),34-46. |
MLA | Yu, Lean,et al."Neural network-based mean-variance-skewness model for portfolio selection".COMPUTERS & OPERATIONS RESEARCH 35.1(2008):34-46. |
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