An Approach for a Multi-Period Portfolio Selection Problem by considering Transaction Costs and Prediction on the Stock Market

Keyphrases

• Stock Market 100%
• Transaction Costs 100%
• Portfolio Optimization 100%
• Multi-period Portfolio Selection 100%
• Sharpe Ratio 100%
• Transaction Prediction 100%
• Treynor Ratio 66%
• Neural Nets 66%
• Term Memory 66%
• Chilean 33%
• Risk Measures 33%
• Mathematical Model 33%
• Rate of Return 33%
• Forecasting Techniques 33%
• Generalized Autoregressive Conditional Heteroscedasticity (GARCH) 33%
• Stockbrokers 33%
• Computational Experiment 33%
• Constrained Problems 33%
• Covariance 33%
• Mean Absolute Percentage Error 33%
• Stock Price Index 33%
• Risk-return Relation 33%
• Integer numbers 33%
• Portfolio Problem 33%
• Treynor 33%
• Cumulative Yield 33%
• Quality Prediction 33%
• Heteroscedastic 33%
• Real Return 33%
• Market Ratio 33%

INIS

• prediction 100%
• market 100%
• stocks 100%
• cost 100%
• risks 62%
• trade 37%
• neural networks 25%
• comparative evaluations 12%
• forecasting 12%
• yields 12%
• errors 12%
• charges 12%
• mathematical models 12%
• prices 12%
• budgets 12%

Economics, Econometrics and Finance

• Portfolio Selection 100%
• Transaction Costs 100%
• Long Short-Term Memory Network 66%
• Measure of Dispersion 33%
• Investors 33%
• Stock Price 33%
• Generalized Autoregressive Conditional Heteroskedasticity 33%