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

Computers and Operations Research

Volumn 35, Issue 1, 2008, Pages 34-46

  Yu, Lean ^a,b   Wang, Shouyang ^a,b,c   Lai, Kin Keung ^c,d  

^a INSTITUTE OF SYSTEMS SCIENCE   (China)

^b UNIVERSITY OF CHINESE ACADEMY OF SCIENCES   (China)

^c HUNAN UNIVERSITY   (China)

^d CITY UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Forecasting; Mean variance skewness model; Portfolio selection; Radial basis function neural network; Risk preference; Trading strategy

Indexed keywords

COMPUTER SIMULATION; INFORMATION MANAGEMENT; MATHEMATICAL MODELS; RISK ASSESSMENT;

MEAN-VARIANCE-SKEWNESS MODELS; PORTFOLIO SELECTION; RADIAL BASIS FUNCTION NEURAL NETWORK; RISK PREFERENCE; TRADING STRATEGY;

RADIAL BASIS FUNCTION NETWORKS;

EID: 34250165400     PISSN: 03050548     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cor.2006.02.012     Document Type: Article

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