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Cost Functions and Model Combination for VaR-based Asset Allocation using Neural Networks

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  • Yoshua Bengio
  • Nicolas Chapados

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  • Yoshua Bengio & Nicolas Chapados, 2002. "Cost Functions and Model Combination for VaR-based Asset Allocation using Neural Networks," CIRANO Working Papers 2002s-49, CIRANO.
    • Handle: RePEc:cir:cirwor:2002s-49
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    File URL: https://cirano.qc.ca/files/publications/2002s-49.pdf
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    References listed on IDEAS

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    1. John Moody & Lizhong Wu, "undated". "Optimization of Trading Systems and Portfolios," Computing in Economics and Finance 1997 55, Society for Computational Economics.
    2. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
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