課程大綱：

1. Financial Prediction

   •  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 Management

   •  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.Arbitrage Pricing Theory

   •  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