Portfolio Research Based on Neural Network and Multi-Objective Programming
Rongjie Jian, Tingting Ni
Available Online 7 January 2020.
- 10.2991/aebmr.k.191225.011How to use a DOI?
- portfolio, BP neural network, ROE (return on equity), multi-objective programming, benefit-risk ratio
In financial investment, risk and benefit coexist. How to balance the benefits and risks and find the optimal investment portfolio is a key issue to be considered by investors. In this research, BP neural network is used to predict the future return on equity (ROE) of asset; a multi-objective programming model of investment portfolio is established on the basis of Markowitz’s portfolio investment theory; to select the optimal investment portfolio, a comparison is made on the benefit-risk ratio of the investment portfolio with the smallest risk and at different income levels; in addition, an empirical analysis is made on the basis of the quarterly ROE data of 5 stocks during 2002-2017.
- © 2020, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Rongjie Jian AU - Tingting Ni PY - 2020 DA - 2020/01/07 TI - Portfolio Research Based on Neural Network and Multi-Objective Programming BT - Proceedings of the 5th International Conference on Economics, Management, Law and Education (EMLE 2019) PB - Atlantis Press SP - 56 EP - 62 SN - 2352-5428 UR - https://doi.org/10.2991/aebmr.k.191225.011 DO - 10.2991/aebmr.k.191225.011 ID - Jian2020 ER -