Abstract
We present a method to integrate forecasting models of asset prices or returns into an asset allocation procedure. The method is first presented theoretically, with two different coupling strategies considered, both using neural networks as forecasting models. The details of the implementation of this method are then described in the context of a country allocation application. The results of this application are presented.
This work was partially supported by the european Commision, Esprit Project 23161
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Bengio, Y. (1996), ‘Using a Financial Training Criterion rather than a Prediction Criterion’, in A. Weigend, Y. Abu-Mostafa and A. N. Refenes [Eds.], Decision Technologies for Financial Engineering, Proceedings of the Fourth International Conference on Neural Networks in the Capital Markets (NNCM′96), World Scientific, Singapore.
Deboeck, G. J. [Ed.] (1994), Trading on the Edge, John Wiley & Sons, New York.
Markowitz, H. (1959), Portfolio Selection: Efficient Diversification of Investments, John Wiley & Sons, New York.
Refenes, A. N. (1995), Neural Networks In the Capital Markets, John Wiley & Sons, Chichester.
Rehkugler, H. and H. G. Zimmermann [Eds.] (1994), Neuronale Netze in der Ökonomie, Verlag Franz Vahlen, München.
Rumelhart, D. E., G. E. Hinton and R. J. Williams (1986), ‘Learning Internal Representations by Error Propagation’, in Parallel Distributed Processing: Explorations in the Microstructure of Cognition, Vol 1., Chapter 8, MIT Press, Cambridge, MA.
Sharpe, W. (1978), Investments, Prentice-Hall, Englewood Cliffs, NJ.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2000 Springer Science+Business Media New York
About this chapter
Cite this chapter
Naïm, P., Hervé, P., Zimmermann, H.G. (2000). Advanced Adaptive Architectures for Asset Allocation. In: Dunis, C.L. (eds) Advances in Quantitative Asset Management. Studies in Computational Finance, vol 1. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-4389-3_5
Download citation
DOI: https://doi.org/10.1007/978-1-4615-4389-3_5
Publisher Name: Springer, Boston, MA
Print ISBN: 978-1-4613-6974-5
Online ISBN: 978-1-4615-4389-3
eBook Packages: Springer Book Archive