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基于神经网络技术的指数跟踪方法

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摘要 文章应用神经网络技术改进指数跟踪组合的资产配置结构,从而提高了指数跟踪业绩。实证结果表明,不论从累计收益率还是从跟踪误差的角度看,神经网络技术确定的指数跟踪组合的业绩比已有文献给出的指数跟踪方法更好,表明基于神经网络技术的指数跟踪方法是一种处理指数跟踪问题的好方法。
作者 李俭富
出处 《统计与决策》 CSSCI 北大核心 2011年第23期26-29,共4页 Statistics & Decision
基金 教育部人文社会科学研究资助项目(09YJC790218)
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参考文献25

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