Another Two-Timescale Duplex Neurodynamic Approach to Portfolio Selection

Abstract

This paper is concerned with portfolio selection based on the Markowitz mean-variance framework using neurodynamic optimization. The portfolio optimization problem is formulated as a biconvex optimization problem. A two-timescale duplex neurodynamic approach is then applied for solving the profolio selection problem. The approach makes use of two recurrent neural networks (RNNs) which operate at different timescales for local search. A particle swarm optimization algorithm is employed to update the neuronal states of the two RNNs for global optima. Experimental results on four stock market datasets show the superior performance of the neurodynamic approach in terms of long-term expected returns.