Average Portfolio Optimization Using Multi-Layer Neural Networks With Risk Consideration

Choosing the appropriate risk criterion has always been one of the main challenges for financial and economic analysts. The goal of this research is to optimize the average portfolio using a multi-layer neural network. In this research, a new model of multilayer neural network has been presented, which increases the efficiency of multilayer neural network in the optimization process. In order to check the accuracy level of the proposed algorithm, the algorithm has been compared with some other models and the numerical results indicate that the proposed algorithm has a higher efficiency than the previous ones