Neural network copula portfolio optimization for exchange traded funds

DOI10.1080/14697688.2017.1414505zbMath1400.91574OpenAlexW2598067006MaRDI QIDQ4554457

Georgios Sermpinis, Yang Zhao, Yukun Shi, Charalampos Stasinakis

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://eprints.gla.ac.uk/156249/7/156249.pdf

zbMATH Keywords

neural networkscopulasportfolio optimization

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Learning and adaptive systems in artificial intelligence (68T05) Portfolio theory (91G10)

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