@inproceedings{4f237fac9c304169a8ae26788df4b72c,
title = "A Two-Timescale Neurodynamic Approach to Minimax Portfolio Optimization",
abstract = "This paper is concerned with asset allocation based on two-timescale neurodynamic optimization. The portfolio optimization in classical mean-variance framework is reformulated as a minimax portfolio selection problem and a two-timescale neurodynamic approach is developed to solve the problem. The neurodynamic approach incorporates a recurrent neural network (RNN) operating on two different timescales. Computational results show the efficacy and performance of the developed approach to asset allocation.",
keywords = "Asset allocation, minimax, neurodynamic optimization, recurrent neural networks, two-timescale",
author = "Leung, \{Man Fai\} and Jun Wang",
note = "Funding Information: This work was supported in part by the Research Grants Council of the Hong Kong Special Administrative Region of China under Grant 11208517, Grant 11202318, and Grant 11202019, and in part by the Open University of Hong Kong Research Grant (No. 2020/1.4). Publisher Copyright: {\textcopyright} 2021 IEEE.; 11th International Conference on Information Science and Technology, ICIST 2021 ; Conference date: 21-05-2021 Through 23-05-2021",
year = "2021",
month = may,
day = "21",
doi = "10.1109/ICIST52614.2021.9440640",
language = "English",
series = "2021 11th International Conference on Information Science and Technology, ICIST 2021",
pages = "438--443",
booktitle = "2021 11th International Conference on Information Science and Technology, ICIST 2021",
}