Machine Learning Optimization Algorithms & Portfolio Allocation
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Cited by:
- Pierre Chen & Edmond Lezmi & Thierry Roncalli & Jiali Xu, 2020. "A Note on Portfolio Optimization with Quadratic Transaction Costs," Papers 2001.01612, arXiv.org.
- Nymisha Bandi & Theja Tulabandhula, 2020. "Off-Policy Optimization of Portfolio Allocation Policies under Constraints," Papers 2012.11715, arXiv.org.
- Zhenning Hong & Ruyan Tian & Qing Yang & Weiliang Yao & Tingting Ye & Liangliang Zhang, 2021.
"Asset Allocation via Machine Learning,"
Accounting and Finance Research, Sciedu Press, vol. 10(4), pages 1-34, November.
- Qing Yang & Zhenning Hong & Ruyan Tian & Tingting Ye & Liangliang Zhang, 2020. "Asset Allocation via Machine Learning and Applications to Equity Portfolio Management," Papers 2011.00572, arXiv.org, revised Nov 2020.
- van Staden, Pieter M. & Dang, Duy-Minh & Forsyth, Peter A., 2021. "The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors," European Journal of Operational Research, Elsevier, vol. 289(2), pages 774-792.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2019-10-07 (Big Data)
- NEP-CMP-2019-10-07 (Computational Economics)
- NEP-FMK-2019-10-07 (Financial Markets)
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