Prediction-based portfolio optimization model using neural networks

By Fábio Darios Freitas, A. D. Souza, Ailson R. de Almeida. 2009

165 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Zhengyao Jiang
2. Jinjun Liang
3. Sang Il Lee
4. Seong Joon Yoo
5. Anthony Grace

In Finance

1. Dixing Xu
2. Zhengyao Jiang
3. Jinjun Liang
4. Sang Il Lee
5. Seong Joon Yoo
6. Anthony Grace
7. M. Ugur Gudelek
8. A. Ozbayoglu

In Management Science and Operations Research

1. Dixing Xu
2. Zhengyao Jiang
3. Jinjun Liang
4. Sang Il Lee
5. Seong Joon Yoo
6. Anthony Grace
7. M. Ugur Gudelek
8. Omer Berat Sezer

Citations in the corpus

• Threshold-based portfolio: the role of the threshold and its applications (2017, methodology): “[32] present a new model of prediction-based portfolio optimization for capturing short-term investment opportunities.”
• Can Deep Learning Techniques Improve the Risk Adjusted Returns from Enhanced Indexing Investment Strategies (2017, methodology): “Freitas et al. (2009) utilise predicted returns in place of the mean return calculated from historic data.”
• A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem (2017, background): “However, many of them try to predict price movements or trends (Heaton et al., 2016; Niaki and Hoseinzade, 2013; Freitas et al., 2009).”