چکیده مقاله
This paper discusses the portfolio selection problem when security returns are uncertain variables and uses of a neural network based on a dynamic model to solve them Two types of portfolio selection programming models are provided based on uncertain theory and convert this models into crisp equivalent problem when the return rates are some special uncertain variables is proved that in the proposed neural network the equilibrium point is equivalent to the optimal solution of the original problem and this NN model is stable and it is globally convergent to an exact optimal solution of the portfolio selection problem with uncertain returns An illustrative example is provided to show the effectiveness of the proposed NN for this problem
کلیدواژهها
نویسندگان
FARAHNAZ OMIDI
Department of Mathematics, Faculty of Mathematics, Statistics and Computer Sciences, Semnan University, P O Box ۳۵۱۹۵ ۳۶۳, Semnan, Iran
LEILA TORKZADEH
Department of Mathematics, Faculty of Mathematics, Statistics and Computer Sciences, Semnan University, P O Box ۳۵۱۹۵ ۳۶۳, Semnan, Iran
BEHZAD ABBASI
Department of Mathematics, Faculty of Mathematics, Statistics and Computer Sciences, Semnan University, P O Box ۳۵۱۹۵ ۳۶۳, Semnan, Iran
KAZEM NOURI
Department of Mathematics, Faculty of Mathematics, Statistics and Computer Sciences, Semnan University, P O Box ۳۵۱۹۵ ۳۶۳, Semnan, Iran
شیوه ارجاع
OMIDI, FARAHNAZ and TORKZADEH, LEILA and ABBASI, BEHZAD and NOURI, KAZEM,1402,PORTFOLIO OPTIMIZATION WITH UNCERTAIN RETURNS USING AN ANN MODEL,The second international conference on management, commerce, economics and accounting
ارائهشده در
مجموعه مقالات دومین کنفرانس بین المللی مدیریت، بازرگانی، اقتصاد و حسابداری28 مهر 1402