Abstract
Adaptive portfolio management has been studied in the literature of neural nets and machine learning. The recently developed Temporal Factor Analysis (TFA) model mainly targeted for further study of the Arbitrage Pricing Theory (APT) is found to have potential applications in portfolio management. In this paper, we aim to illustrate the superiority of APT-based portfolio management over return-based portfolio management. © Springer-Verlag Berlin Heidelberg 2002.
Cite
CITATION STYLE
Chiu, K. C., & Xu, L. (2002). Financial APT-based Gaussian TFA learning for adaptive portfolio management. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 2415 LNCS, pp. 1019–1024). Springer Verlag. https://doi.org/10.1007/3-540-46084-5_165
Register to see more suggestions
Mendeley helps you to discover research relevant for your work.
