Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/328625 
Authors: 
Year of Publication: 
2022
Citation: 
[Journal:] Economies [ISSN:] 2227-7099 [Volume:] 10 [Issue:] 12 [Article No.:] 325 [Year:] 2022 [Pages:] 1-19
Publisher: 
MDPI, Basel
Abstract: 
This article proposes a neoclassical stock market portfolio based on the principles of dynamic response and constant adaptation to the market. The construction of a neoclassical investment portfolio begins with the conceptual development of an adaptive investment strategy. We suggest an algorithm for creating an adaptive investment portfolio. The conceptual model of the investment strategy is presented including the following mandatory components: evaluation, forecasting, investment, and adaptation. This model has the ability to adapt both in normal and in crisis periods of the market. As a description of the forecasting component, an additive mathematical model of the predictive ensemble is used, including seasonal, regression, and shock elements as well as a neural network.
Subjects: 
investment strategy
methodology
risk measure
time series forecasting
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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