A hopfield network for the portfolio selection problem

Identificador:  imarina:5724738

Handle: https://hdl.handle.net/20.500.11797/imarina5724738

Autors:  Fernandez, Alberto; Gomez, Sergio

Resum:
Given a set of available assets, the portfolio selection problem consists in finding out the best way of investing a particular amount of money in the assets. Some heuristic methods based on evolutionary algorithms, tabu search and simulated annealing have been developed in the past. Here we present a Hopfield neural network model to solve the portfolio selection problem, comparing the new results to those obtained with the other heuristic methods. © 2005 The authors. All rights reserved.