A Hopfield Network for the Portfolio Selection Problem

Authors:
Alberto Fernández;Sergio Gómez
Affiliations:
Departament d'Enginyeria Informàtica i Matemàtiques, Universistat Rovira i Virgili, Spain;Departament d'Enginyeria Informàtica i Matemàtiques, Universistat Rovira i Virgili, Spain
Venue:
Proceedings of the 2005 conference on Artificial Intelligence Research and Development
Year:
2005

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Abstract

Given a set of available assets, the portfolio selection problem consists in finding out the best way of investing a particular amount of money in the assets. Some heuristic methods based on evolutionary algorithms, tabu search and simulated annealing have been developed in the past. Here we present a Hopfield neural network model to solve the portfolio selection problem, comparing the new results to those obtained with the other heuristic methods.