The motivation for this paper is to introduce a hybrid neural network architecture of Particle Swarm Optimization and Adaptive Radial Basis Function (ARBF–PSO), a time varying leverage trading strategy based on Glosten, Jagannathan and Runkle (GJR) volatility forecasts and a neural network...

A single-period portfolio selection theory provides optimal tradeoff between the mean and the variance of the portfolio return for a future period. However, in a real investment process, the investment horizon is usually multi-period and the investor needs to rebalance his position from time to...