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Mathematics
Article . 2022 . Peer-reviewed
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Mathematics
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Pergamos
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Exploiting Mean-Variance Portfolio Optimization Problems through Zeroing Neural Networks

Authors: Spyridon D. Mourtas; Chrysostomos Kasimis;

Exploiting Mean-Variance Portfolio Optimization Problems through Zeroing Neural Networks

Abstract

In this research, three different time-varying mean-variance portfolio optimization (MVPO) problems are addressed using the zeroing neural network (ZNN) approach. The first two MVPO problems are defined as time-varying quadratic programming (TVQP) problems, while the third MVPO problem is defined as a time-varying nonlinear programming (TVNLP) problem. Then, utilizing real-world datasets, the time-varying MVPO problems are addressed by this alternative neural network (NN) solver and conventional MATLAB solvers, and their performances are compared in three various portfolio configurations. The results of the experiments show that the ZNN approach is a magnificent alternative to the conventional methods. To publicize and explore the findings of this study, a MATLAB repository has been established and is freely available on GitHub for any user who is interested.

Country
Greece
Keywords

zeroing neural network (ZNN), time-varying nonlinear programming, time-varying quadratic programming, QA1-939, mean-variance portfolio optimization (MVPO), Markowitz framework, Mathematics

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
17
Top 10%
Top 10%
Top 10%
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