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