Portfolio selection based on a nonlinear neural network: An application on the Istanbul Stock Exchange (ISE30)

İlgım YAMAN; Türkan ERBAY DALKILIÇ

doi:https://doi.org/10.31801/cfsuasmas.443670

Makale detayları

Portfolio selection based on a nonlinear neural network: An application on the Istanbul Stock Exchange (ISE30)

Yazarlar:

İlgım YAMAN | Türkan ERBAY DALKILIÇ

Yayıncı:

Ankara University

Ana Başlıklar:

Matematik

Dergi:

Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 2019 Vol.68 Issue 2, pp.1709-1723

Belge Tipi:

Makale

Yayın Tarihi:

7/2019

Belge Dili:

İngilizce

Document ID (Org No.):

2000909318

Sıklık:

Üç Aylık

eISSN:

2618-6470

pISSN:

1303-5991

DOI:

https://doi.org/10.31801/cfsuasmas.443670

Özet:

 


Heuristic techniques have used frequently in portfolio
optimization problem. However, almost none of these techniques used a neural
network to allocate the proportion of stocks. The main goal of portfolio
optimization problem is minimizing the risk of portfolio while maximizing the
expected return of the portfolio. This study tackles a neural network in order to
solve the portfolio optimization problem. The data set is the daily price of
Istanbul Stock Exchange-30 (ISE-30) from May 2015 to May 2017.  This study uses Markowitz’s Mean-Variance
model. Indeed, the portfolio optimization model is quadratic programming (QP)
problem. Therefore, many heuristic methods were used to solve portfolio
optimization method such as particle swarm optimization, ant colony
optimization etc. In fact, these methods do not satisfy stock markets demands
in the financial world. This study proposed a nonlinear neural network to solve
the portfolio optimization problem. 


.

Makale detayları

Portfolio selection based on a nonlinear neural network: An application on the Istanbul Stock Exchange (ISE30)

Yazarlar: İlgım YAMAN | Türkan ERBAY DALKILIÇ

Yayıncı: Ankara University

Ana Başlıklar: Matematik

Dergi: Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 2019 Vol.68 Issue 2, pp.1709-1723

Belge Tipi: Makale

Yayın Tarihi: 7/2019

Belge Dili: İngilizce

Document ID (Org No.): 2000909318

Sıklık: Üç Aylık

eISSN: 2618-6470

pISSN: 1303-5991

DOI: https://doi.org/10.31801/cfsuasmas.443670

Sayı

Yazarlar:

İlgım YAMAN | Türkan ERBAY DALKILIÇ

Yayıncı:

Ankara University

Ana Başlıklar:

Matematik

Dergi:

Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 2019 Vol.68 Issue 2, pp.1709-1723

Belge Tipi:

Makale

Yayın Tarihi:

7/2019

Belge Dili:

İngilizce

Document ID (Org No.):

2000909318

Sıklık:

Üç Aylık

eISSN:

2618-6470

pISSN:

1303-5991

DOI:

https://doi.org/10.31801/cfsuasmas.443670