Overview
The ultimate goal of any investment strategy is to maximize returns with the minimum risk. In the framework of modern portfolio management theory, this is achieved by constructing a portfolio of investments which is weighted in a way that achieves maximum return at minimum risk. The construction of such an optimal portfolio requires a priori estimates of asset returns and risk.
The data for this case study was supplied by Hermes Investment Management.
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© 1999 Springer-Verlag London
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Zapranis, A., Refenes, AP.N. (1999). Neural Networks in Tactical Asset Allocation: a Case Study. In: Principles of Neural Model Identification, Selection and Adequacy. Perspectives in Neural Computing. Springer, London. https://doi.org/10.1007/978-1-4471-0559-6_7
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DOI: https://doi.org/10.1007/978-1-4471-0559-6_7
Publisher Name: Springer, London
Print ISBN: 978-1-85233-139-9
Online ISBN: 978-1-4471-0559-6
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