課程大綱： 1. • RPCL competitive learning based piecewise linear prediction • Extended radial basis functions and Adaptive EM algorithm for its ML learning • Prediction by Extended radial basis functions • Mixture of expert model and Adaptive EM algorithm for its ML learning • Prediction by mixture of expert model • ARCH and GRACH models for prediction • Finite mixture of ARCH and GRACH models 2. • Portfolio Expected Return and Portfolio Variance • Standard Markowian Portfolio Optimization • Sharpe's ratio and Adaptive Portfolio Management • New Sharpe-Ratio-Related Methods for Portfolio Selection • Traditional risk vs. Downside risk • Improved Portfolio Sharpe Ratio Maximization with Diversification • Adaptive Portfolio Management in help of mixture of expert models 3. • Capital Asset Pricing Model vs. Arbitrage Pricing Theory • Three Types of APT Implementation • Factor analysis and APT Implementation • Rotation Indeterminacy and Incapability of Factor analysis for implementing APT • Temporal Factor Analysis (TFA) and its suitability for implementing APT • TFA based APT for Prediction • TFA based APT for Adaptive Portfolio Management |