Portfolio allocation with CEEMDAN denoising algorithm-Reference-Cited by-同舟云学术

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Portfolio allocation with CEEMDAN denoising algorithm

Published:2023-07-14 Issue:21 Volume:27 Page:15955-15970
ISSN:1432-7643
Container-title:Soft Computing
language:en
Short-container-title:Soft Comput

Author:

Su Kuangxi^ORCID,Zheng Chengli,Yu Xing

Funder

Humanities and Social Science Planning Fund Project of the Ministry of Education

Fundamental Research Funds for the Central Universities

Publisher

Springer Science and Business Media LLC

Subject

Geometry and Topology,Theoretical Computer Science,Software

Link

https://link.springer.com/content/pdf/10.1007/s00500-023-08883-6.pdf

Reference44 articles.

1. Ahn K, Bi Y, Sohn S (2019) Price discovery among SSE 50 Index-based spot, futures, and options markets. J Futur Mark 39(2):238–259

2. Artzner P, Delbaen F, Eber J-M, Heath D (1999) Coherent measures of risk. Math Financ 9(3):203–228

3. Auer BR (2015) Does the choice of performance measure influence the evaluation of commodity investments? Int Rev Financ Anal 38:142–150

4. Ayenu-Prah A, Attoh-Okine N (2010) A criterion for selecting relevant intrinsic mode functions in empirical mode decomposition. Adv Adapt Data Anal 2(1):1–24

5. Barillas F, Kan R, Robotti C, Shanken J (2020) Model comparison with sharpe ratios. J Financ Quant Anal 55(6):1840–1874

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