Сибирский федеральный университет

Тип публикации: статья из журнала

Год издания: 2023

Идентификатор DOI: 10.1016/j.amc.2022.127700

Ключевые слова: fuzzy logic system, neural networks, portfolio insurance, portfolio optimization, time-varying linear programming

Аннотация: 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 is thus more realistic. Then, to solve it efficiently, we propose a powerful recurrent neural network called the linear-variational-inequality primal-dual neural network (LVI-PDNN). By doing so, we overcome the drawbacks of the static approach and propose an online solution. In order to improve the performance of the standard LVI-PDNN model, an adaptive fuzzy-power LVI-PDNN (F-LVI-PDNN) model is also introduced and studied. This model combines the fuzzy control technique with LVI-PDNN. Numerical experiments and computer simulations confirm the F-LVI-PDNN model's superiority over the LVI-PDNN model and show that our approach is a splendid option to accustomed MATLAB procedures. © 2022 Elsevier Inc.

Журнал: Applied Mathematics and Computation

Выпуск журнала: Vol. 441

Номера страниц: 127700

ISSN журнала: 00963003

Издатель: Elsevier Inc.

• Katsikis V.N. (Department of Economics, Division of Mathematics-Informatics and Statistics-Econometrics, National and Kapodistrian University of Athens, Sofokleous 1 Street, Athens, 10559, Greece)
• Mourtas S.D. (Department of Economics, Division of Mathematics-Informatics and Statistics-Econometrics, National and Kapodistrian University of Athens, Sofokleous 1 Street, Athens, 10559, Greece, Laboratory “Hybrid Methods of Modelling and Optimization in Complex Systems”, Siberian Federal University, Prosp. Svobodny 79, Krasnoyarsk, 660041, Russian Federation)
• Stanimirović P.S. (Laboratory “Hybrid Methods of Modelling and Optimization in Complex Systems”, Siberian Federal University, Prosp. Svobodny 79, Krasnoyarsk, 660041, Russian Federation, University of Niš, Faculty of Sciences and Mathematics, Višegradska 33, Niš, 18000, Serbia)
• Li S. (Swansea University, Swansea, United Kingdom)
• Cao X. (School of Management, Shanghai University, China)

• Scopus