Name
Title | ||
|---|---|---|
On portfolio management with value at risk and uncertain returns via an artificial neural network scheme |
Abstract | ||
|---|---|---|
•Paper focuses on uncertain portfolio selection with Conditional-Value-at-Risk.•The main idea is to replace the portfolio selection models with linear programming (LP) problems.•A new neural network for solving LP problems are provided.•The model is globally convergent to an exact optimal solution of the LP problem.•The validity of the model is demonstrated by using several examples. |
Year | DOI | Venue |
|---|---|---|
2020 | 10.1016/j.cogsys.2019.09.024 | Cognitive Systems Research |
Keywords | Field | DocType |
Uncertain variables,Portfolio selection,Value at risk,Crisp equivalent programming,Neural network,Stability,Convergent | Lyapunov function,Mathematical optimization,Project portfolio management,Equilibrium point,Psychology,Portfolio,Portfolio optimization,Artificial intelligence,Linear programming,Artificial neural network,Convex optimization,Machine learning | Journal |
Volume | ISSN | Citations |
59 | 1389-0417 | 1 |
PageRank | References | Authors |
0.37 | 0 | 2 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Sahar Mohammadi | 1 | 1 | 0.37 |
| Alireza Nazemi | 2 | 1 | 0.37 |