| Author: | Hung, S. Liang, T. Liu, V. |
| Title: | Integrating arbitrage pricing theory and artificial neural networks to support portfolio management |
| Journal: | Decision Support Systems
1996 : VOL. 18:3/4, p. 301-316 |
| Index terms: | DECISION SUPPORT SYSTEMS PORTFOLIO MANAGEMENT PRICE THEORY |
| Language: | eng |
| Abstract: | The paper presents an innovative approach that integrates the arbitrage pricing theory and artificial neural networks to support portfolio management. The integrated approach takes advantage of the synergy between APT and ANN in extracting risk factors, predicting the trend of individual risk factor, generating candidate portfolios, and choosing the optimal portfolio. It uses quadratic programming for identifying surrogate portfolios in APT and ANN to predict factor returns. |
SCIMA