Another Two-Timescale Duplex Neurodynamic Approach to Portfolio Selection
Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45) › 32_Refereed conference paper (with ISBN/ISSN) › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Title of host publication | 2021 11th International Conference on Intelligent Control and Information Processing (ICICIP) |
| Publisher | IEEE |
| Pages | 387-391 |
| ISBN (Electronic) | 978-1-6654-2515-5 |
| Publication status | Published - Dec 2021 |
Publication series
| Name | International Conference on Intelligent Control and Information Processing, ICICIP |
|---|
Conference
| Title | 11th International Conference on Intelligent Control and Information Processing (ICICIP 2021) |
|---|---|
| Place | China |
| City | Dali |
| Period | 3 - 7 December 2021 |
Link(s)
Abstract
This paper is concerned with portfolio selection based on the Markowitz mean-variance framework using neurodynamic optimization. The portfolio optimization problem is formulated as a biconvex optimization problem. A two-timescale duplex neurodynamic approach is then applied for solving the profolio selection problem. The approach makes use of two recurrent neural networks (RNNs) which operate at different timescales for local search. A particle swarm optimization algorithm is employed to update the neuronal states of the two RNNs for global optima. Experimental results on four stock market datasets show the superior performance of the neurodynamic approach in terms of long-term expected returns.
Research Area(s)
- local search, neural networks, portfolio optimization, Two-timescale
Citation Format(s)
Another Two-Timescale Duplex Neurodynamic Approach to Portfolio Selection. / Leung, Man-Fai; Wang, Jun; Che, Hangjun.
2021 11th International Conference on Intelligent Control and Information Processing (ICICIP). IEEE, 2021. p. 387-391 (International Conference on Intelligent Control and Information Processing, ICICIP).Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45) › 32_Refereed conference paper (with ISBN/ISSN) › peer-review
