Applying least squares support vector machines to mean-variance portfolio analysis

DOI10.1155/2019/4189683zbMath1435.91175OpenAlexW2953819137MaRDI QIDQ2298419

Junseok Kim, Jian Wang

Publication date: 20 February 2020

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/4189683

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Portfolio theory (91G10)

Uses Software

• LS-SVMlab

Cites Work

• Unnamed Item
• Chaos, randomness and multi-fractality in bitcoin market
• Portfolio selection under independent possibilistic information
• Nash equilibrium strategy for a DC pension plan with state-dependent risk aversion: a multiperiod mean-variance framework
• Markowitz revisited: social portfolio engineering
• Financial portfolio management through the goal programming model: current state-of-the-art
• On the Uniform Convergence of Relative Frequencies of Events to Their Probabilities

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