| dc.contributor.author | Maknickienė, Nijolė | |
| dc.date.accessioned | 2024-10-09T06:40:14Z | |
| dc.date.available | 2024-10-09T06:40:14Z | |
| dc.date.issued | 2012 | |
| dc.identifier.isbn | 9786094573231 | en_US |
| dc.identifier.issn | 2029-7963 | en_US |
| dc.identifier.uri | https://etalpykla.vilniustech.lt/handle/123456789/155053 | |
| dc.description.abstract | The conditions for investment depend on correct forecasts of financial markets parameters received by artificial intelligence based on currency trading models, where AI was used as probabilistic forecasting tool. Improvements of predictions probability directly influence the investment portfolio performance indicators and their inter-relationship. Newly developed Evolino Recurrent Neural Network (RNN) based on forecasting model was used for study of influence of currency exchange rate forecasts on investment decisions related with reception and choice of investment strategy. Results of portfolio performance indicators and portfolio riskiness are presented. | en_US |
| dc.format.extent | 12 p. | en_US |
| dc.format.medium | Tekstas / Text | en_US |
| dc.language.iso | en | en_US |
| dc.relation.uri | https://etalpykla.vilniustech.lt/handle/123456789/155040 | en_US |
| dc.source.uri | http://old.konferencijos.vgtu.lt/cbme.vgtu.lt/public_html/index.php/cbme/cbme_2012/paper/view/90 | en_US |
| dc.subject | artificial intelligence | en_US |
| dc.subject | forecasting | en_US |
| dc.subject | investment portfolio | en_US |
| dc.subject | exchange rates | en_US |
| dc.subject | Sharpe ratio | en_US |
| dc.subject | skewness | en_US |
| dc.subject | Sortino ratio | en_US |
| dc.title | Evaluation of the portfolio performance indicators, using Evolino RNN trading model | en_US |
| dc.type | Konferencijos publikacija / Conference paper | en_US |
| dcterms.accessRights | Laisvai prieinamas / Openly available | en_US |
| dcterms.accrualMethod | Rankinis pateikimas / Manual submission | en_US |
| dcterms.alternative | Financial risks management of business development | en_US |
| dcterms.issued | 2012-11-15 | |
| dcterms.references | 22 | en_US |
| dc.description.version | Taip / Yes | en_US |
| dc.contributor.institution | Vilniaus Gedimino technikos universitetas | en_US |
| dc.contributor.institution | Vilnius Gediminas Technical University | en_US |
| dc.contributor.faculty | Verslo vadybos fakultetas / Faculty of Business Management | en_US |
| dcterms.sourcetitle | International Scientific Conference „Contemporary Issues in Business, Management and Education ‘2012“ | en_US |
| dc.publisher.name | Vilnius Gediminas Technical University | en_US |
| dc.publisher.name | Vilniaus Gedimino technikos universitetas | en_US |
| dc.publisher.country | Lithuania | en_US |
| dc.publisher.country | Lietuva | en_US |
| dc.publisher.city | Vilnius | en_US |
| dc.identifier.doi | https://doi.org/10.3846/cibme.2012.13 | en_US |
