haku: @author Steiner, M. / yhteensä: 12
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| Tekijä: | Steiner, M. Wittkemper, H.-G. |
| Otsikko: | Portfolio optimization with a neural network implementation of the coherent market hypothesis |
| Lehti: | European Journal of Operational Research
1997 : JUL 1, VOL. 100:1, p. 27-40 |
| Asiasana: | OPERATIONAL RESEARCH FINANCE FORECASTING |
| Kieli: | eng |
| Tiivistelmä: | Capital market research seems to be widely governed by traditional static linear models like arbitrage pricing theory and capital asset pricing model, though there is some evidence that better results can be achieved using nonlinear approaches. In this study the authors described a portfolio optimization model based on artificial neural networks embedded in the framework of a nonlinear dynamic capital market model, the coherent market hypothesis. The main advantage of this theory is that it drops the premise of rational investors and therefore relaxes the precondition of approximately normally distributed stock returns. |
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