Portfolio optimization for multi-stage capital investment with neural networks

被引：0
|
作者：
Zhang, YL [1 ]
Hua, Y
机构：
[1] Wuhan Univ, Sch Business, Wuhan, Peoples R China
[2] Wuhan Univ, Comp Sch, Wuhan, Peoples R China
来源：
ADVANCES IN NEURAL NETWORKS - ISNN 2004, PT 2 | 2004年 / 3174卷
关键词：
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
Portfolio optimization has been researched for several years in financial engineering. The problem can be described as maximization of the expected growth rate of a portfolio with relatively small variance of the portfolio growth rate. In this paper, novel method of multi-stage portfolio optimization with partial information is introduced in detail. Investors can redistribute wealth in multiple periods in order to maximize the returns and minimize the risks in financial market. The experiments with random data can prove the method efficient and proper.
引用
收藏
页码：982 / 987
页数：6
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