Time-varying minimum-cost portfolio insurance problem via an adaptive fuzzy-power LVI-PDNN

Vasilios N. Katsikis,Spyridon D. Mourtas,Predrag S. Stanimirović,Shuai Li,Xinwei Cao

Applied Mathematics and Computation（2023）

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摘要

•Definition and study of the time-varying minimum-cost portfolio insurance (TV-MCPI) problem.•Online solution of TV-MCPI problem via Fuzzy methods and Neural Networks.•The TV-MCPI model eliminates the drawbacks of the static strategy, resulting in more practical results.

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关键词

Neural networks,Fuzzy logic system,Portfolio insurance,Time-varying linear programming,Portfolio optimization

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