Prediction-Based Portfolio Optimization Models Using Deep Neural Networks
نویسندگان
چکیده
منابع مشابه
Prediction-based portfolio optimization model using neural networks
This work presents a new prediction-based portfolio optimization model that can capture short-term investment opportunities. We used neural network predictors to predict stocks’ returns and derived a risk measure, based on the prediction errors, that have the same statistical foundation of the mean-variance model. The efficient diversification effects holds thanks to the selection of predictors...
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ژورنال
عنوان ژورنال: IEEE Access
سال: 2020
ISSN: 2169-3536
DOI: 10.1109/access.2020.3003819