Applying Least Squares Support Vector Machines to Mean-Variance Portfolio Analysis

Applying Least Squares Support Vector Machines to Mean-Variance Portfolio Analysis

Portfolio selection problem introduced by Markowitz has been one of the most important research fields in modern finance. In this paper, we propose a model (least squares support vector machines (LSSVM)-mean-variance) for the portfolio management based on LSSVM. To verify the reliability of LSSVM-me...

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Bibliographic Details
Main Authors:	Jian Wang, Junseok Kim
Format:	Article
Language:	English
Published:	Hindawi Limited 2019-01-01
Series:	Mathematical Problems in Engineering
Online Access:	http://dx.doi.org/10.1155/2019/4189683

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