A clustering-based portfolio strategy incorporating momentum effect and market trend prediction-Reference-Cited by-同舟云学术

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A clustering-based portfolio strategy incorporating momentum effect and market trend prediction

Published:2018-12 Issue: Volume:117 Page:1-15
ISSN:0960-0779
Container-title:Chaos, Solitons & Fractals
language:en
Short-container-title:Chaos, Solitons & Fractals

Author:

Lu Ya-Nan,Li Sai-Ping,Zhong Li-Xin,Jiang Xiong-Fei,Ren Fei

Publisher

Elsevier BV

Subject

General Mathematics,General Physics and Astronomy,Statistical and Nonlinear Physics,Applied Mathematics

Reference58 articles.

1. Portfolio selection;Markowitz;J Finance,1952

2. Noise dressing of financial correlation matrices;Laloux;Phys Rev Lett,1999

3. Noisy covariance matrices and portfolio optimization;Pafka;Eur Phys J B,2002

4. Portfolio selection using neural networks;Fernández;Comput Oper Res,2007

5. Solving portfolio selection models with uncertain returns using an artificial neural network scheme;Nazemi;Appl Intell,2015

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