[HTML][HTML] Portfolio insurance through error-correction neural networks
VN Kovalnogov, RV Fedorov, DA Generalov… - Mathematics, 2022 - mdpi.com
Minimum-cost portfolio insurance (MCPI) is a well-known investment strategy that tries to
limit the losses a portfolio may incur as stocks decrease in price without requiring the …
limit the losses a portfolio may incur as stocks decrease in price without requiring the …
[HTML][HTML] Exploiting mean-variance portfolio optimization problems through zeroing neural networks
SD Mourtas, C Kasimis - Mathematics, 2022 - mdpi.com
In this research, three different time-varying mean-variance portfolio optimization (MVPO)
problems are addressed using the zeroing neural network (ZNN) approach. The first two …
problems are addressed using the zeroing neural network (ZNN) approach. The first two …
Time-varying minimum-cost portfolio insurance problem via an adaptive fuzzy-power LVI-PDNN
It is well known that minimum-cost portfolio insurance (MPI) is an essential investment
strategy. This article presents a time-varying version of the original static MPI problem, which …
strategy. This article presents a time-varying version of the original static MPI problem, which …
ORPIT: A matlab toolbox for option replication and portfolio insurance in incomplete markets
VN Katsikis, SD Mourtas - Computational Economics, 2020 - Springer
In this work, we present the ORPIT Matlab toolbox. ORPIT applies the theory of vector
lattices to solve (a) the problem of option replication and (b) the cost minimization problem of …
lattices to solve (a) the problem of option replication and (b) the cost minimization problem of …
Portfolio insurance and intelligent algorithms
VN Katsikis, SD Mourtas - Computational Management: Applications of …, 2021 - Springer
Minimizing portfolio insurance (PI) costs is an investment strategy of great importance. In this
chapter, by converting the classical minimum-cost PI (MCPI) problem to a multi-period MCPI …
chapter, by converting the classical minimum-cost PI (MCPI) problem to a multi-period MCPI …
[CITATION][C] Risk attribution of data-driven portfolio strategies$
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