arXiv Open Access 2005

Portfolio selection using neural networks

Alberto Fernandez Sergio Gomez

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Abstrak

In this paper we apply a heuristic method based on artificial neural networks in order to trace out the efficient frontier associated to the portfolio selection problem. We consider a generalization of the standard Markowitz mean-variance model which includes cardinality and bounding constraints. These constraints ensure the investment in a given number of different assets and limit the amount of capital to be invested in each asset. We present some experimental results obtained with the neural network heuristic and we compare them to those obtained with three previous heuristic methods.

Topik & Kata Kunci

cs.NE

Penulis (2)

Alberto Fernandez

Sergio Gomez

Format Sitasi

APA MLA BibTeX

Fernandez, A., Gomez, S. (2005). Portfolio selection using neural networks. https://arxiv.org/abs/cs/0501005

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Informasi Jurnal

Tahun Terbit: 2005
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓