Further Higher Moments in Portfolio Selection and A Priori Detection of Bankruptcy, Under Multi‐layer Perceptron Neural Networks, Hybrid Neuro‐genetic MLPs, and the Voted Perceptron

Nikolaos Loukeris and Iordanis Eleftheriadis

International Journal of Finance & Economics, 2015, vol. 20, issue 4, 341-361

Abstract: A novel approach on the portfolio selection theory is given with regard to advanced utility performance that incorporates more accurate investor patterns up to the fifth moment. Bankruptcy detection, a priori, on an investment portfolio of stocks is a significant process that can eliminate potential losses. Even in case of corporate fraud, efficient funds can maximize their net present value by reforming the assets. Multi‐layer perceptron neural networks are compared with hybrids of neuro‐genetic multi‐layer perceptrons and the voted‐perceptron algorithm to define the most efficient classification method into the perceptrons family, implementing extensive network topologies. Copyright © 2015 John Wiley & Sons, Ltd.

Date: 2015
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