Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network (Q5139230)
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scientific article; zbMATH DE number 7282776
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network |
scientific article; zbMATH DE number 7282776 |
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Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network (English)
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7 December 2020
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asset allocation
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portfolio allocation
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portfolio optimization
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statistical learning theory
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stochastic programming
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