A neurodynamic approach for solving portfolio optimisation problem in high-frequency trading based on charnes-chooper transformation

This study addresses real-time portfolio optimisation in high-frequency trading by formulating it as a single-ratio fractional programming problem. By utilising the Charnes-Cooper transformation, we convert fractional programming into non-fractional programming. Subsequently, we introduce a projecti...

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Bibliographic Details

Published in:	International journal of systems science Vol. 56; no. 7; pp. 1561 - 1576
Main Authors:	Zhu, Wenli, Chen, Jia, Hu, Jin
Format:	Journal Article
Language:	English
Published:	London Taylor & Francis 19.05.2025 Taylor & Francis Ltd
Subjects:	Charnes-Cooper transformation Mathematical programming Neural networks neurodynamic optimisation Optimization Portfolio optimisation Real time Systems science
ISSN:	0020-7721, 1464-5319
Online Access:	Get full text
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