Neural network predictive modeling on dynamic portfolio management: A simulation-based portfolio optimization approach
Year of publication: |
2020
|
---|---|
Authors: | Yu, Jiayang ; Chang, Kuo-Chu |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 13.2020, 11, p. 1-23
|
Publisher: |
Basel : MDPI |
Subject: | risk management | GARCH | portfolio optimization | CVaR | Pair Copula | simulation-based optimization |
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