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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:urn:nbn:de:hbz:386-kluedo-10601
Series (Serial Number):Report in Wirtschaftsmathematik (WIMA Report) (58)
Document Type:Preprint
Language of publication:English
Year of Completion:1999
Year of first Publication:1999
Publishing Institution:Technische Universität Kaiserslautern
Date of the Publication (Server):2000/08/28
Faculties / Organisational entities:Kaiserslautern - Fachbereich Mathematik
DDC-Cassification:5 Naturwissenschaften und Mathematik / 510 Mathematik
Licence (German):Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011