摘要
Instead of existing methods,a recurrent neural network is conceived to deal with three stages of portfolio management.Mainly,a deterministic annealing neural network is proposed for the approach to portfolio problem,which is a kind of quadratic programming.Finally,through a real example,we verify that the neural network model proposed in this paper is a good tool to solve the portfolio problem.
对神经网络在评券投资管理三个阶段 :变量选择、收益预测、证券组合方面的应用进行了分析 .在此基础上 ,着重对不允许卖空情况下预期收益固定、风险最小的证券最优组合的投资比例系数的求解提出了一种确定性模拟退火神经网络的解法 .最后 。
基金
Supported by the National Science Foundatin of China (No.79670 0 64)
