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Portfolio optimization with a neural network implementation of the coherent market hypothesis

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  • Steiner, Manfred
  • Wittkemper, Hans-Georg

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  • Steiner, Manfred & Wittkemper, Hans-Georg, 1997. "Portfolio optimization with a neural network implementation of the coherent market hypothesis," European Journal of Operational Research, Elsevier, vol. 100(1), pages 27-40, July.
    • Handle: RePEc:eee:ejores:v:100:y:1997:i:1:p:27-40
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    References listed on IDEAS

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    1. Stephen A. Ross, 2013. "The Arbitrage Theory of Capital Asset Pricing," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30, World Scientific Publishing Co. Pte. Ltd..
    2. LeBaron, Blake, 1992. "Some Relations between Volatility and Serial Correlations in Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 65(2), pages 199-219, April.
    3. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
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    Cited by:

    1. Jason Narsoo, 2017. "Performance Analysis of Portfolio Optimisation Strategies: Evidence from the Exchange Market," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(6), pages 124-132, June.
    2. Marcos Vizcaíno-González & Juan Pineiro-Chousa & Jorge Sáinz-González, 2017. "Selecting explanatory factors of voting decisions by means of fsQCA and ANN," Quality & Quantity: International Journal of Methodology, Springer, vol. 51(5), pages 2049-2061, September.
    3. Ankit Dangi, 2013. "Financial Portfolio Optimization: Computationally guided agents to investigate, analyse and invest!?," Papers 1301.4194, arXiv.org.
    4. Lukas Ryll & Sebastian Seidens, 2019. "Evaluating the Performance of Machine Learning Algorithms in Financial Market Forecasting: A Comprehensive Survey," Papers 1906.07786, arXiv.org, revised Jul 2019.
    5. Angelini, Eliana & di Tollo, Giacomo & Roli, Andrea, 2008. "A neural network approach for credit risk evaluation," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(4), pages 733-755, November.
    6. Akhter Mohiuddin Rather & V. N. Sastry & Arun Agarwal, 2017. "Stock market prediction and Portfolio selection models: a survey," OPSEARCH, Springer;Operational Research Society of India, vol. 54(3), pages 558-579, September.

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