• DocumentCode
    3309003
  • Title

    Tactical asset allocation: an artificial neural network based model

  • Author

    Casas, C. Augusto

  • Author_Institution
    Sch. of Comput. & Inf. Sci., Nova Southeastern Univ., Fort Lauderdale, FL, USA
  • Volume
    3
  • fYear
    2001
  • fDate
    2001
  • Firstpage
    1811
  • Abstract
    An artificial neural network was trained to support a tactical asset allocation investment strategy. The allocation strategy considers three asset classes: US stocks, bonds and money market. The neural network was trained to forecast the probability that each asset class would outperform the other two by the end of a one-month period. The neural network was trained with the backpropagation algorithm. A tactical asset allocation portfolio was invested in the asset class expected to have the best performance according to the neural network prediction. The strategy was simulated during a one-year period. During the simulation period the strategy outperformed the S&P500 Index by 1,792 basis points. The artificial neural network prediction was accurate 92% of the time
  • Keywords
    backpropagation; forecasting theory; investment; neural nets; probability; stock markets; US stocks; backpropagation; bonds; forecasting; investment; money market; neural network; portfolio; probability; tactical asset allocation; Artificial neural networks; Asset management; Backpropagation algorithms; Computer networks; Contracts; Economic forecasting; Gaussian distribution; Investments; Neural networks; Portfolios;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Neural Networks, 2001. Proceedings. IJCNN '01. International Joint Conference on
  • Conference_Location
    Washington, DC
  • ISSN
    1098-7576
  • Print_ISBN
    0-7803-7044-9
  • Type

    conf

  • DOI
    10.1109/IJCNN.2001.938437
  • Filename
    938437