Neural network predictive modeling on dynamic portfolio management : a simulation-based portfolio optimization approach
Year of publication: |
2020
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Authors: | Yu, Jiayang ; Chang, Kuo-Chu |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 13.2020, 11/285, p. 1-23
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Subject: | risk management | GARCH | portfolio optimization | CVaR | Pair Copula | simulation-based optimization | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Neuronale Netze | Neural networks | Risikomanagement | Risk management | Simulation | Multivariate Verteilung | Multivariate distribution | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm13110285 [DOI] hdl:10419/239342 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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