Neural network-based mean-variance-skewness model for portfolio selection

doi:10.1016/j.cor.2006.02.012

IMR OpenIR

	Neural network-based mean-variance-skewness model for portfolio selection
	Yu, Lean ; Wang, Shouyang ; Lai, Kin Keung
通讯作者	Lai, Kin Keung(mskklai@cityu.edu.hk)
	2008
发表期刊	COMPUTERS & OPERATIONS RESEARCH
ISSN	0305-0548
卷号	35 期号:1 页码:34-46
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.
关键词	mean-variance-skewness model portfolio selections radial basis function neural network forecasting trading strategy risk preference
DOI	10.1016/j.cor.2006.02.012
收录类别	SCI
语种	英语
WOS研究方向	Computer Science ; Engineering ; Operations Research & Management Science
WOS类目	Computer Science, Interdisciplinary Applications ; Engineering, Industrial ; Operations Research & Management Science
WOS记录号	WOS:000250165500004
出版者	PERGAMON-ELSEVIER SCIENCE LTD
引用统计	被引频次：77[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.imr.ac.cn/handle/321006/92801
专题	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.