Index Tracking Method Based on the Neural Networks and its Empirical Study
In this paper, the neural network is used to improve the structure of assets allocation of index tracking portfolio. The empirical results shows that the performance of index tracking based on the neural networks is better than that of other methods mentioned in the literatures. The index tracking approach based on neural networks is a good method for index tracking problem.
J. F. Li and Y. S. Su, "Index Tracking Method Based on the Neural Networks and its Empirical Study", Advanced Materials Research, Vol. 267, pp. 974-978, 2011