Description
This is the website for “Application of artificial neural networks and quadratic programming in portfolio management”, a Master’s Thesis of the Master’s Degree in Banking and Finance from the University of A Coruña. The work was carried out by David Díaz Rodríguez and supervised by Xosé Manuel Martínez Filgueira. The site is built using Quarto.
This work has a repository that contains, in addition to the source code for this site, some of the data resulting from the procedure described throughout the work, as well as structures of the RNA models used to obtain the predictions. .
The code of the procedure exposed in the present work, Annex. 4 Codes, was developed using version 4.3.1 of R and version 2023.06.1-524 of the RStudio software. The packages necessary for the execution of the code are the following:
| Package | Versión |
|---|---|
| abind | 1.4.5 |
| DiagrammeR | 1.0.11 |
| dplyr | 1.1.4 |
| forecast | 8.22.0 |
| ggplot2 | 3.5.1 |
| gridExtra | 2.3 |
| gt | 0.10.1 |
| jsonlite | 1.8.8 |
| kableExtra | 1.4.0 |
| keras | 2.15.0 |
| knitr | 1.46 |
| lubridate | 1.9.3 |
| Matrix | 1.7.0 |
| Metrics | 0.1.4 |
| quadprog | 1.5.8 |
| quantmod | 0.4.26 |
| readr | 2.1.5 |
| readxl | 1.4.3 |
| simplermarkdown | 0.0.6 |
| stringr | 1.5.1 |
| tensorflow | 2.16.0 |
| tibble | 3.2.1 |
| tidyr | 1.3.1 |
| TTR | 0.24.4 |
| xml2 | 1.3.6 |
| xts | 0.13.2 |
| zoo | 1.8.12 |
To cite use the following url: https://ruc.udc.es/dspace/handle/2183/36519. You can also consult:
Slides
Dashboard