Time-varying minimum-cost portfolio insurance problem via an adaptive fuzzy-power LVI-PDNN

DOI10.1016/j.amc.2022.127700OpenAlexW4309048147MaRDI QIDQ2101985

Spyridon D. Mourtas, Xinwei Cao, Vasilios N. Katsikis, Predrag S. Stanimirović, Shuai Li

Publication date: 7 December 2022

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2022.127700

zbMATH Keywords

neural networksportfolio optimizationportfolio insurancefuzzy logic systemtime-varying linear programming

Mathematics Subject Classification ID

Mathematical programming (90Cxx) Actuarial science and mathematical finance (91Gxx) Model systems in control theory (93Cxx)

Uses Software

• Matlab
• ORPIT

Cites Work

• Portfolio insurance with liquidity risk
• Minimum-cost portfolio insurance
• A sojourn probability approach to fuzzy-model-based reliable control for switched systems with mode-dependent time-varying delays
• A heuristic process on the existence of positive bases with applications to minimum-cost portfolio insurance in \(C[a, b\)]
• Exploiting Hessian matrix and trust-region algorithm in hyperparameters estimation of Gaussian process
• Time-varying minimum-cost portfolio insurance under transaction costs problem via beetle antennae search algorithm (BAS)
• Time-varying mean-variance portfolio selection under transaction costs and cardinality constraint problem via beetle antennae search algorithm (BAS)
• Time-varying mean-variance portfolio selection problem solving via LVI-PDNN
• Stability and Control of Nonlinear Time-varying Systems
• Stabilization of Rössler chaotic dynamical system using fuzzy logic control algorithm

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