Neural Network Predictive Modeling on Dynamic Portfolio Management—A Simulation-Based Portfolio Optimization Approach
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- Fengmin Xu & Jieao Ma, 2023. "Intelligent option portfolio model with perspective of shadow price and risk-free profit," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-28, December.
- Hofert, Marius & Prasad, Avinash & Zhu, Mu, 2022. "Multivariate time-series modeling with generative neural networks," Econometrics and Statistics, Elsevier, vol. 23(C), pages 147-164.
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Keywords
CVaR; GARCH; Pair Copula; simulation-based optimization; portfolio optimization; risk management;All these keywords.
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