Predictions, Nonlinearities and Portfolio Choice

Predictions, Nonlinearities and Portfolio Choice
- Applications of Artificial Neural Networks ...
Kruse, Friedrich Christian

Predictions, Nonlinearities and Portfolio Choice - Applications of Artificial Neural Networks to German Market Indexes

Preis 55,00inkl. ges. MwSt.
ISBN 978-3-8441-0185-0
Bestell-Nr. 0185C
Gewicht 282 g
Warengruppe Volkswirtschaft
Sachgruppe Katallaktik
Einband broschiert
Sprache Englisch
Umfang 220
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1. Introduction

2. Literature Review
2.1. Predictability of Asset Returns
2.2. Predictability of Volatility
2.3. Portfolio Choice when Parameters are Predictable

3. Approximations and Predictions by Artificial Neural Networks
3.1. Methodology of Artificial Neural Networks
3.2. Nonlinear Predictions of Asset Returns, Volatilities and Correlations
3.3. Empirical Results
3.4. Chapter Summary

4. Predictions and Myopic Portfolio Choice
4.1. Integrated Portfolio Decisions
4.2. Mean-Variance Portfolios
4.3. Mean-Variance Preferences and Utility
4.4. Econometric Approaches in Portfolio Choice
4.5. Performance Measures
4.6. Empirical Results
4.7. Chapter Summary

5. Predictions and Intertemporal Portfolio Choice
5.1. Intertemporal Optimal Portfolios in Discrete-Time
5.2. Including Parameter Uncertainty
5.3. Chapter Summary

6. Conclusion

Über den Autor

Friedrich Christian Kruse, born in 1983 in Hagen, has been a research assistant at the Endowed Chair of Finance at WHU – Otto Beisheim School of Management from May 2008 to December 2010. During this time, he has also been a visiting scholar at the NYU Stern Business School in New York City. Prior to that, the author studied Business Administration and Economics at the University of Passau as well as Lund University in Sweden and was educated by the Bayerische Elite-Akademie. He received his doctoral degree in 2012.

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