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CVaR Prediction Model of the Investment Portfolio Based on the Convolutional Neural Network Facilitates the Risk Management of the Financial Market

CVaR Prediction Model of the Investment Portfolio Based on the Convolutional Neural Network Facilitates the Risk Management of the Financial Market

Zheng Wu, Yan Qiao, Shuai Huang, HsienChen Liu
Copyright: © 2022 |Volume: 30 |Issue: 7 |Pages: 19
ISSN: 1062-7375|EISSN: 1533-7995|EISBN13: 9781668435700|DOI: 10.4018/JGIM.293288
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MLA

Wu, Zheng, et al. "CVaR Prediction Model of the Investment Portfolio Based on the Convolutional Neural Network Facilitates the Risk Management of the Financial Market." JGIM vol.30, no.7 2022: pp.1-19. http://doi.org/10.4018/JGIM.293288

APA

Wu, Z., Qiao, Y., Huang, S., & Liu, H. (2022). CVaR Prediction Model of the Investment Portfolio Based on the Convolutional Neural Network Facilitates the Risk Management of the Financial Market. Journal of Global Information Management (JGIM), 30(7), 1-19. http://doi.org/10.4018/JGIM.293288

Chicago

Wu, Zheng, et al. "CVaR Prediction Model of the Investment Portfolio Based on the Convolutional Neural Network Facilitates the Risk Management of the Financial Market," Journal of Global Information Management (JGIM) 30, no.7: 1-19. http://doi.org/10.4018/JGIM.293288

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Abstract

In summary, firstly, a method for establishing a portfolio model is proposed based on the risk management theory of the financial market. Then, a prediction model for CVaR is established based on the convolutional neural network, and the improved particle swarm algorithm is employed to solve the model. The actual data analysis is implemented to prove the feasibility of CVaR prediction model based on deep learning and particle swarm optimization algorithm in financial market risk management. The test results show that the investment portfolio CVaR prediction model based on the convolutional neural network can obtain the optimal solution in the 18th generation at the fastest after using the improved particle swarm algorithm, which is more effective than the traditional algorithm. The CVaR prediction model of the investment portfolio based on the convolutional neural network facilitates the risk management of the financial market.