Exploiting the Black-Litterman framework through error-correction neural networks

Author:

Mourtas Spyridon D.,Katsikis Vasilios N.

Publisher

Elsevier BV

Subject

Artificial Intelligence,Cognitive Neuroscience,Computer Science Applications

Reference50 articles.

1. A Closer Look at the Minimum-Variance Portfolio Optimization Model;Dai;Mathematical Problems in Engineering,2019

2. V.N. Katsikis, S.D. Mourtas, Computational Management, Vol. 18 of Modeling and Optimization in Science and Technologies, Springer, Cham., 2021, Ch. Portfolio Insurance and Intelligent Algorithms, pp. 305–323. doi:10.1007/978-3-030-72929-5_14.

3. A heuristic process on the existence of positive bases with applications to minimum-cost portfolio insurance in C;Katsikis;Applied Mathematics and Computation,2019

4. Optimal portfolio insurance under nonlinear transaction costs;Katsikis;Journal of Modeling and Optimization,2020

5. ORPIT: A Matlab toolbox for option replication and portfolio insurance in incomplete markets;Katsikis;Computational Economics,2019

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