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.
Author: | Jürgen Franke |
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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 |