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Report de recerca: DEIM-RR-04-004

Descarrega
DEIM-RR-04-004 (229.8Kb)
Nombre de descàrregues: 2055

Títol

Portfolio selection using neural networks

Autor/s

Alberto Fernndez, Sergio Gmez

Data

30-12-2004

Tipus de report

Recerca

Idioma

Angls

Nombre de pàgines

12

Resum

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.

Paraules Clau

Portfolio selection, Efficient frontier, Neural networks, Hopfield network