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

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

0.00 Avg rating0 Votes
Article ID: iaor20084511
Country: United Kingdom
Volume: 35
Issue: 1
Start Page Number: 34
End Page Number: 46
Publication Date: Jan 2008
Journal: Computers and Operations Research
Authors: , ,
Keywords: financial, neural networks, forecasting: applications
Abstract:

In this study, a novel neural network-based mean–variance–skewness model for optimal portfolio selection is proposed integrating different forecasts and trading strategies, as well as investors' risk preference. Based on the Lagrange multiplier theory in optimization and the radial basis function (RBF) neural network, the model seeks to provide solutions satisfying the trade-off conditions of mean–variance–skewness. The feasibility of the RBF network-based mean–variance–skewness model is verified with a simulation experiment. The experimental results show that, for all examined investor risk preferences and investment assets, the proposed model is a fast and efficient way of solving the trade-off in the mean–variance–skewness portfolio problem. In addition, we also find that the proposed approach can also be used as an alternative tool for evaluating various forecasting models.

Reviews

Required fields are marked *. Your email address will not be published.