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The mean-variance formulation by Markowitz in the 1950s paved a foundation for portfolio selection analysis in a single period. This was subsequently extended to multi-period portfolio selection by Li and Ng and multi-period portfolio selection with inter-temporal constraints by Costa and Nabholz. The solutions of both papers were implemented and backtested on the Singapore and US stock market. It...
An effective foreign exchange (Forex) trading decision is usually dependent on effective forex forecasting. This paper reports empirical evidence that an artificial neural network (ANN) is applicable to the prediction of foreign exchange rates. The architecture of the network and the related algorithms are described. The effects of the choice of inputs into a neural network model are examined. Except...
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