A one-layer recurrent neural network for real-time portfolio optimization with probability criterion

IEEE Transactions on Cybernetics

Volumn 43, Issue 1, 2013, Pages 14-23

  Liu, Qingshan ^a   Dang, Chuangyin ^b   Huang, Tingwen ^c  

^a SOUTHEAST UNIVERSITY   (China)

^b CITY UNIVERSITY OF HONG KONG   (Hong Kong)

^c TEXAS A AND M UNIVERSITY AT QATAR   (Qatar)

Author keywords

Fractional programming; Lyapunov function; Portfolio optimization; Pseudoconvex optimization; Recurrent neural networks

Indexed keywords

DECISION MAKING MODELS; FRACTIONAL PROGRAMMING; OBJECTIVE FUNCTIONS; OPTIMIZATION TECHNIQUES; PORTFOLIO OPTIMIZATION; PROBABILITY CRITERION; PROGRAMMING PROBLEM; PSEUDOCONVEX OPTIMIZATIONS;

CONSTRAINED OPTIMIZATION; CONVEX PROGRAMMING; FINANCIAL DATA PROCESSING; LYAPUNOV FUNCTIONS; OPTIMAL SYSTEMS; RECURRENT NEURAL NETWORKS;

PROBLEM SOLVING;

ARTIFICIAL NEURAL NETWORK; BIOLOGICAL MODEL; COMPUTER SIMULATION; DECISION MAKING;

COMPUTER SIMULATION; DECISION MAKING; MODELS, NEUROLOGICAL; NEURAL NETWORKS (COMPUTER);

EID: 84890135187     PISSN: 21682267     EISSN: None     Source Type: Journal    
DOI: 10.1109/TSMCB.2012.2198812     Document Type: Article

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