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Neural network-based mean-variance-skewness model for portfolio selection
Yu, Lean; Wang, Shouyang; Lai, Kin Keung
Corresponding AuthorLai, Kin Keung(mskklai@cityu.edu.hk)
2008
Source PublicationCOMPUTERS & OPERATIONS RESEARCH
ISSN0305-0548
Volume35Issue:1Pages:34-46
AbstractIn 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.
Keywordmean-variance-skewness model portfolio selections radial basis function neural network forecasting trading strategy risk preference
DOI10.1016/j.cor.2006.02.012
Indexed BySCI
Language英语
WOS Research AreaComputer Science ; Engineering ; Operations Research & Management Science
WOS SubjectComputer Science, Interdisciplinary Applications ; Engineering, Industrial ; Operations Research & Management Science
WOS IDWOS:000250165500004
PublisherPERGAMON-ELSEVIER SCIENCE LTD
Citation statistics
Cited Times:61[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.imr.ac.cn/handle/321006/92803
Collection中国科学院金属研究所
Corresponding AuthorLai, Kin Keung
Affiliation1.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
Recommended Citation
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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