Essays about: "Aron Andersson"

Found 1 essay containing the words Aron Andersson.

  1. 1. Portfolio Performance Optimization Using Multivariate Time Series Volatilities Processed With Deep Layering LSTM Neurons and Markowitz

    University essay from KTH/Matematisk statistik

    Author : Aron Andersson; Shabnam Mirkhani; [2020]
    Keywords : Recurrent Neural network RNN ; long short-term memory LSTM ; portfolio optimization; markowitz; exponential moving average; sharpe ratio; heteroskedasticity; Markowitz;

    Abstract : The stock market is a non-linear field, but many of the best-known portfolio optimization algorithms are based on linear models. In recent years, the rapid development of machine learning has produced flexible models capable of complex pattern recognition. READ MORE