Portfolio management and market risk quantification using neural networks

  • We discuss how neural networks may be used to estimate conditional means, variances and quantiles of nancial time series nonparametrically. These estimates may be used to forecast, to derive trading rules and to measure market risk.

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Metadaten
Author:Jürgen Franke
URN (permanent link):urn:nbn:de:hbz:386-kluedo-10601
Serie (Series number):Report in Wirtschaftsmathematik (WIMA Report) (58)
Document Type:Preprint
Language of publication:English
Year of Completion:1999
Year of Publication:1999
Publishing Institute:Technische Universität Kaiserslautern
Faculties / Organisational entities:Fachbereich Mathematik
DDC-Cassification:510 Mathematik

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