IDEAS home Printed from https://ideas.repec.org/a/hin/jnlmpe/4189683.html
   My bibliography  Save this article

Applying Least Squares Support Vector Machines to Mean-Variance Portfolio Analysis

Author

Listed:
  • Jian Wang
  • Junseok Kim

Abstract

Portfolio selection problem introduced by Markowitz has been one of the most important research fields in modern finance. In this paper, we propose a model (least squares support vector machines (LSSVM)-mean-variance) for the portfolio management based on LSSVM. To verify the reliability of LSSVM-mean-variance model, we conduct an empirical research and design an algorithm to illustrate the performance of the model by using the historical data from Shanghai stock exchange. The numerical results show that the proposed model is useful when compared with the traditional Markowitz model. Comparing the efficient frontier and total wealth of both models, our model can provide a more measurable standard of judgment when investors do their investment.

Suggested Citation

  • Jian Wang & Junseok Kim, 2019. "Applying Least Squares Support Vector Machines to Mean-Variance Portfolio Analysis," Mathematical Problems in Engineering, Hindawi, vol. 2019, pages 1-10, June.
    • Handle: RePEc:hin:jnlmpe:4189683
    DOI: 10.1155/2019/4189683
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/MPE/2019/4189683.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/MPE/2019/4189683.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2019/4189683?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:jnlmpe:4189683. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.