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Hierarchical Decision Making in Strategic Investment by a Boltzmann Machine.
- Source :
-
International Journal of Uncertainty, Fuzziness & Knowledge-Based Systems . Aug99, Vol. 7 Issue 4, p429. 9p. - Publication Year :
- 1999
-
Abstract
- A conventional portfolio selection problem, which is based on a mean-variance model, is difficult to solve by using mathematical programming techniques. This difficulty is caused by the fact that the corresponding mathematical programming problems are large-dimensional one, since almost all variance-covariances of return rates are, typically, not zeros. In this paper, we propose an efficient method for solving a portfolio selection problem, a method which uses a Boltzmann machine. In a real-life problem, it is also important to find the optimal combination of a small number of invested securities out of many securities in a market, because of a limited amount of funds to invest into securities. So we also propose a portfolio selection method to obtain the invest ratio of limited number of securities out of huge number of securities using a multi-stage application of the Boltzmann machine. [ABSTRACT FROM AUTHOR]
- Subjects :
- *DECISION making
*INVESTMENTS
*MATHEMATICAL programming
Subjects
Details
- Language :
- English
- ISSN :
- 02184885
- Volume :
- 7
- Issue :
- 4
- Database :
- Academic Search Index
- Journal :
- International Journal of Uncertainty, Fuzziness & Knowledge-Based Systems
- Publication Type :
- Academic Journal
- Accession number :
- 9624248
- Full Text :
- https://doi.org/10.1142/S0218488599000398