Financial Asset Management Using Artificial Neural Networks

2022 ◽  
pp. 1359-1380
Author(s):  
Roohollah Younes Sinaki ◽  
Azadeh Sadeghi ◽  
Dustin S. Lynch ◽  
William A. Young II ◽  
Gary R. Weckman
Keyword(s):  
Asset Management ◽  
Financial Asset ◽  
Investment Portfolio ◽  
Stock Market Crash ◽  
Time Period ◽  
Artificial Neural ◽  
The One ◽  
Investment Portfolios ◽  
Retirement Investment ◽  
Large Investment

Investors typically build portfolios for retirement. Investment portfolios are typically based on four asset classes that are commonly managed by large investment firms. The research presented in this article involves the development of an artificial neural network-based methodology that investors can use to support decisions related to determining how assets are allocated within an investment portfolio. The machine learning-based methodology was applied during a time period that included the stock market crash of 2008. Even though this time period was highly volatile, the methodology produced desirable results. Methodologies such as the one presented in this article should be considered by investors because they have produced promising results, especially within unstable markets.

scholarly journals Financial Asset Management Using Artificial Neural Networks

2020 ◽  
Vol 11 (3) ◽  
pp. 66-86
Author(s):  
Roohollah Younes Sinaki ◽  
Azadeh Sadeghi ◽  
Dustin S. Lynch ◽  
William A. Young II ◽  
Gary R. Weckman
Keyword(s):  
Asset Management ◽  
Investment Portfolio ◽  
Stock Market Crash ◽  
Time Period ◽  
Asset Classes ◽  
Artificial Neural ◽  
The One ◽  
Investment Portfolios ◽  
Retirement Investment ◽  
Large Investment

Investors typically build portfolios for retirement. Investment portfolios are typically based on four asset classes that are commonly managed by large investment firms. The research presented in this article involves the development of an artificial neural network-based methodology that investors can use to support decisions related to determining how assets are allocated within an investment portfolio. The machine learning-based methodology was applied during a time period that included the stock market crash of 2008. Even though this time period was highly volatile, the methodology produced desirable results. Methodologies such as the one presented in this article should be considered by investors because they have produced promising results, especially within unstable markets.

WHETHER CONSUMER SATISFACTION BENEFITS THE INVESTMENT PORTFOLIO: EMPIRICAL EVIDENCE FROM HONG KONG

2019 ◽  
pp. 1950015
Author(s):  
JIN LI ◽  
GEOFFREY TSO ◽  
DON WU
Keyword(s):  
Hong Kong ◽  
Consumer Satisfaction ◽  
Investment Portfolio ◽  
Satisfaction Index ◽  
Market Rate ◽  
Time Period ◽  
Stock Market Performance ◽  
Financial Investments ◽  
Beta Risk ◽  
Investment Portfolios

This paper aims to investigate the role of a consumer satisfaction index (CSI) for financial investments in the Hong Kong market. Using yearly data for Hong Kong consumer satisfaction index (HKCSI) to compile a CSI at company level, the effect of consumer satisfaction on company market value is identified. A hypothesized investment portfolio based only on CSI at company level is created, and its return compares with a widely used index measuring stock market performance in Hong Kong. A formal statistical test on the outperformance of portfolios that load on consumer satisfaction is conducted. Using the Capital Asset Pricing Model (CAPM), the beta risk of the entire time period is evaluated, and shows that the portfolio risk based on company level CSI is not significantly different than the market risk. This paper concludes therefore that consumer satisfaction can be incorporated into financial models and applied for formulating investment portfolios with better performance than the market rate in Hong Kong.

BANK INVESTMENT PORTFOLIO DEVELOPMENT

2020 ◽  
Vol 6 (3) ◽  
pp. 33-38
Author(s):  
Xikmatilla Usmonov ◽  
Keyword(s):  
Portfolio Management ◽  
Asset Management ◽  
Commercial Banks ◽  
International Experience ◽  
Experience Report ◽  
Investment Portfolio ◽  
Portfolio Development ◽  
Investment Portfolios

This article analyzes the development of the investment portfolio of commercial banks in Uzbekistan and their investment factors. In order to develop the investment portfolios of banks, recommendations were given on the use of international experience. Report on investment portfolio and commercial banks. It also covers the investment portfolio, the nature of investment asset management, the risks associated with it, the risks that affect the effectiveness of investment portfolio management, and the importance of effective investment portfolio management

Revealing the importance of international and domestic cooperation by using artificial neural networks: case of European radical and incremental innovators

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Viktor Prokop ◽  
Jan Stejskal ◽  
Beata Mikusova Merickova ◽  
Samuel Amponsah Odei
Keyword(s):  
Neural Networks ◽  
Artificial Neural Networks ◽  
International Cooperation ◽  
Incremental Innovation ◽  
Content Type ◽  
Innovation Activities ◽  
Design Activities ◽  
Artificial Neural ◽  
The One ◽  
Innovation Processes

PurposeThe purpose of this study is to introduce innovative ideas into the treatment of the radical and incremental innovations and to fill the research gap by using: (1) methods that can perform complicated tasks and solve complex problems leading in creation of radical and incremental innovation and (2) a broad sample of firms across countries. The authors’ ambition is to contribute to the scientific knowledge by producing evidence about the novel usage of artificial neural network techniques for measuring European firms' innovation activities appearing in black boxes of innovation processes.Design/methodology/approachIn this study, the authors incorporate an international context into Chesbrough's open innovation (OI) theory and, on the one hand, support the hypothesis that European radical innovators benefit more from foreign cooperation than incremental innovators. On the other hand, the results of the analyses show that European incremental innovators rely on domestic cooperation supported by cooperation with foreign public research institutes. Moreover, the use of decision trees (DT) allows the authors to reveal specific patterns of successful innovators emerging within the hidden layers of neural networks.FindingsThe authors prove that radical European innovators using either internal or external R&D strategies, while the combinations of these strategies do not bring successful innovation outputs. In contrast, European incremental innovators benefit from various internal R&D processes in which engagement in design activities plays a crucial role.Originality/valueThe authors introduce innovative ideas into the treatment of hidden innovation processes and measuring the innovation performance (affected by domestic or international cooperation) of European firms. The approach places emphasis on the novelty of innovation and the issue of international cooperation in the era of OI by designing the framework using a combination of artificial neural networks and DT.

MODELING OF NEURAL PREDICTIVE CONTROL OF IRRIGATION MACHINES

2021 ◽  
pp. 14-22
Author(s):  
G. N. KAMYSHOVA ◽  
Keyword(s):  
Neural Networks ◽  
Artificial Neural Networks ◽  
Real Time ◽  
Predictive Control ◽  
Intelligent Control ◽  
Machine Learning Algorithms ◽  
Intelligent Control Systems ◽  
Artificial Neural ◽  
The One ◽  
Neural Predictive Control

The purpose of the study is to develop new scientific approaches to improve the efficiency of irrigation machines. Modern digital technologies allow the collection of data, their analysis and operational management of equipment and technological processes, often in real time. All this allows, on the one hand, applying new approaches to modeling technical systems and processes (the so-called “data-driven models”), on the other hand, it requires the development of fundamentally new models, which will be based on the methods of artificial intelligence (artificial neural networks, fuzzy logic, machine learning algorithms and etc.).The analysis of the tracks and the actual speeds of the irrigation machines in real time showed their significant deviations in the range from the specified speed, which leads to a deterioration in the irrigation parameters. We have developed an irrigation machine’s control model based on predictive control approaches and the theory of artificial neural networks. Application of the model makes it possible to implement control algorithms with predicting the response of the irrigation machine to the control signal. A diagram of an algorithm for constructing predictive control, a structure of a neuroregulator and tools for its synthesis using modern software are proposed. The versatility of the model makes it possible to use it both to improve the efficiency of management of existing irrigation machines and to develop new ones with integrated intelligent control systems.

scholarly journals Face Mask Use Conditionally Decreases Compliance With Physical Distancing Rules Against COVID-19: Gender Differences in Risk Compensation Pattern

2021 ◽  
Author(s):  
Martin Aranguren
Keyword(s):  
Social Status ◽  
Face Mask ◽  
Risk Compensation ◽  
High Status ◽  
Compensatory Behavior ◽  
Traffic Lights ◽  
Time Period ◽  
The Face ◽  
The One ◽  
Lower Adherence

Abstract Background In the context of the COVID-19 emergency, the concern has been raised that people may compensate the reduction in risk ensured by mask use with an increase in risk induced by lower adherence to physical distancing rules. Purpose The paper investigates if people compensate risk in this manner when their interaction partner wears a face mask, examining if risk compensation further depends on gender, signaled social status and perceived race. Methods An experiment was conducted in two waves (June, n = 1396 and September 2020, n = 1326) in front of the traffic lights of four busy roads in Paris. A confederate asked a randomly selected pedestrian for directions following a script and keeping the recommended distance. Confederates were locally recognizable as Blacks or Whites and alternatively presented themselves with a costume indicative of high or low social status. An observer recorded whether the pedestrian kept the recommended distance. Results Both in June and September, men are less likely to comply with the distancing rule when the confederate wears the face mask, and particularly so when the confederate signals high status. When the confederate wears the mask, female pedestrians observe less the one-meter rule in September than in June. Conclusions Men’s risk compensatory behavior is constant over time. In contrast, women’s depends on the time period.

scholarly journals Statistical and Artificial Neural Networks Models for Electricity Consumption Forecasting in the Brazilian Industrial Sector

Energies ◽  
2022 ◽  
Vol 15 (2) ◽  
pp. 588
Author(s):  
Felipe Leite Coelho da Silva ◽  
Kleyton da Costa ◽  
Paulo Canas Rodrigues ◽  
Rodrigo Salas ◽  
Javier Linkolk López-Gonzales
Keyword(s):  
Neural Network ◽  
Neural Networks ◽  
Artificial Neural Networks ◽  
Statistical Approach ◽  
Electricity Consumption ◽  
Industrial Sector ◽  
Neural Network Approach ◽  
Artificial Neural ◽  
The One ◽  
Mlp Model

Forecasting the industry’s electricity consumption is essential for energy planning in a given country or region. Thus, this study aims to apply time-series forecasting models (statistical approach and artificial neural network approach) to the industrial electricity consumption in the Brazilian system. For the statistical approach, the Holt–Winters, SARIMA, Dynamic Linear Model, and TBATS (Trigonometric Box–Cox transform, ARMA errors, Trend, and Seasonal components) models were considered. For the approach of artificial neural networks, the NNAR (neural network autoregression) and MLP (multilayer perceptron) models were considered. The results indicate that the MLP model was the one that obtained the best forecasting performance for the electricity consumption of the Brazilian industry under analysis.

scholarly journals Towards Net Zero export credit: current approaches and next steps

2021 ◽  
Author(s):  
Thomas Hale ◽  
Andreas Klasen ◽  
Norman Ebner ◽  
Bianca Krämer ◽  
Anastasia Kantzelis
Keyword(s):  
Business Models ◽  
Global Climate ◽  
Export Credit ◽  
Public And Private ◽  
Climate Targets ◽  
Net Zero ◽  
The Many ◽  
The One ◽  
Investment Portfolios ◽  
Export Credit Agencies

As the world economy rapidly decarbonises to meet global climate goals, the export credit sector must keep pace. Countries representing over two-thirds of global GDP have now set net zero targets, as have hundreds of private financial institutions. Public and private initiatives are now working to develop new standards and methodologies for shifting investment portfolios to decarbonisation pathways based on science. However, export credit agencies (ECAs) are only at the beginning stages of this seismic transformation. On the one hand, the net zero transition creates risks to existing business models and clients for the many ECAs, while on the other, it creates a significant opportunity for ECAs to refocus their support to help countries and trade partners meet their climate targets. ECAs can best take advantage of this transition, and minimise its risks, by setting net zero targets and adopting credible plans to decarbonise their portfolios. Collaboration across the sector can be a powerful tool for advancing this goal.

scholarly journals Kelly's Strategy Analysis in Optimizing Investment Portfolios in Foreign Exchange

2019 ◽  
Vol 8 (2S7) ◽  
pp. 245-250
Keyword(s):  
Financial Markets ◽  
Foreign Exchange ◽  
Optimal Portfolio ◽  
Minimal Risk ◽  
Investment Portfolio ◽  
Strategy Analysis ◽  
Average Value ◽  
Portfolio Returns ◽  
Strategy Model ◽  
Investment Portfolios

Investments in financial markets not only pay attention to promising profits, but also need to consider the risks that follow. Risks can be minimized by establishing an investment portfolio. This research was conducted with the aim of analyzing optimal portfolios on foreign exchange investments, so that investments made provide maximum returns at certain risks, or minimal risk on certain returns. The data analyzed in this study are foreign exchange traded at Bank Indonesia. Data analysis is carried out quantitatively using the Kelly Strategy model. The steps: (i) Calculation of individual foreign exchange returns, (ii) Determine the average value of individual foreign exchange returns, (iii) Determine the optimal portfolio using the Kelly strategy approach, and (iv) Determine portfolio returns and risks. Based on the results of the analysis obtained the allocation of weights that provide returns and risks to the optimal portfolio. A 95% USD currency is an optimal portfolio of the five currencies used. So that it can be used as a consideration for investors, in making investment decisions in the foreign exchange being analyzed.

scholarly journals ELEMENTS OF CONTROL THEORY APPLIED TO AN INVESTMENT PORTFOLIO IN THE CAPITAL MARKET. THE OPTIMAL TIME HORIZON FOR SELLING A PORTFOLIO

2015 ◽  
Vol 1 (310) ◽  
Author(s):  
Jerzy Tymiński
Keyword(s):  
Capital Market ◽  
Stock Exchange ◽  
Optimal Time ◽  
Dynamic Programming Method ◽  
Financial Instruments ◽  
Investment Portfolio ◽  
Warsaw Stock Exchange ◽  
Investment Portfolios ◽  
Rational Investment ◽  
The Capital Market

The article presents a concept of capital management for assembling investment portfolios. Two optimization variants of a portfolio to be purchased are discussed. Portfolio I is structural, using the „traditional model”. To assemble Portfolio II, elements of reliability theory and the dynamic programming method were used. The article also analyses the sale of a portfolio with respect to the demand for financial instruments in the capital market. The presented concept dealing with rational investment decisions during transactions at the Warsaw Stock Exchange can also be used by managers to create an effective portfolio of financial instruments.

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