We consider nonlinear models for expected asset returns, employing neural network architectures. These models can be interpreted in terms of financial common risk factors. We investigate competing inferential approaches through a simulation experiment, implemented in a parallel environment.

Stochastic simulation of models for expected asset returns based on neural networks: a parallel experience

ZANGHIRATI, Gaetano
1998

Abstract

We consider nonlinear models for expected asset returns, employing neural network architectures. These models can be interpreted in terms of financial common risk factors. We investigate competing inferential approaches through a simulation experiment, implemented in a parallel environment.
9788886037037
Stochastic assets model; neural network; parallel computation
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11392/1192293
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