TY - JOUR
TI - Exploiting the Black-Litterman framework through error-correction neural networks
AU - Mourtas, S.D.
AU - Katsikis, V.N.
JO - Neurocomputing
PY - 2022
VL - 498
TODO - null
SP - 43-58
PB - Elsevier B.V.
SN - 0925-2312
TODO - 10.1016/j.neucom.2022.05.036
TODO - Continuous time systems;  Error correction;  Feedforward neural networks;  Financial data processing;  Investments;  Markov processes;  MATLAB;  Recurrent neural networks;  Time delay;  Time series;  Time varying networks;  Variational techniques, Black-litterman;  Continous time;  Forecasting problems;  Neural-networks;  Optimization problems;  Portfolio managements;  Portfolio optimization;  Portfolio selection;  Time varying;  Time-varying quadratic programming, Quadratic programming, article;  artificial neural network;  data analysis software;  feed forward neural network;  forecasting;  time series analysis
TODO - The Black-Litterman (BL) model is a particularly essential analytical tool for effective portfolio management in financial services sector since it enables investment analysts to integrate investor views into market equilibrium returns. In this research, we define and study the continuous-time BL portfolio optimization (CTBLPO) problem as a time-varying quadratic programming (TVQP) problem. The investor's views in the CTBLPO problem are regarded as a forecasting problem, and they are generated by a novel neural network (NN) model. More precisely, employing a novel multi-function activated by a weights-and-structure-determination for time-series (MAWTS) algorithm, a 3-layer feed-forward NN model, called MAWTSNN, is proposed for handling time-series modeling and forecasting problems. Then, using real-world datasets, the CTBLPO problem is approached by two different TVQP NN solvers. These solvers are the zeroing NN (ZNN) and the linear-variational-inequality primal–dual NN (LVI-PDNN). The experiment findings illustrate and compare the performances of the ZNN and LVI-PDNN in three various portfolio configurations, as well as indicating that the MAWTSNN is an excellent alternative to the traditional approaches. To promote and contend the outcomes of this research, we created two MATLAB repositories for the interested user, that are publicly accessible on GitHub. © 2022 Elsevier B.V.
ER -