کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
387787 | 660908 | 2008 | 8 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Resource allocation neural network in portfolio selection Resource allocation neural network in portfolio selection](/preview/png/387787.png)
Portfolio selection is a resource allocation problem in a finance market. The investor’s asset optimization requires the distribution of a set of capital (resources) among a set of entities (assets) with the trade-off between risk and return. The ANN with nonlinear capability is proven to solve a large-scale complex problem effectively. It is suitable to solve NP-hard resource allocation problem. However, the traditional ANN model cannot guarantee the summation of produced investment weight always preserves 100% in output layer. This article introduces a resource allocation neural network model to optimize investment weight of portfolio. This model will dynamically adjust the investment weight as a basis of 100% of summing all of asset weights in the portfolio. The experimental results demonstrate the feasibility of optimal investment weights and superiority of ROI of buy-and-hold trading strategy compared with benchmark Taiwan Stock Exchange (TSE).
Journal: Expert Systems with Applications - Volume 35, Issues 1–2, July–August 2008, Pages 330–337