An improvement of stochastic gradient descent approach for mean-variance portfolio optimization problem

DOI10.1155/2021/8892636zbMath1477.91049OpenAlexW3139363613MaRDI QIDQ2034531

Stephanie S. W. Su, Sie Long Kek

Publication date: 22 June 2021

Published in: Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2021/8892636

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12) Financial applications of other theories (91G80) Portfolio theory (91G10)

Uses Software

• Adam

Cites Work

• Introducing randomness into first-order and second-order deterministic differential equations
• Parameter identification of ARX models based on modified momentum gradient descent algorithm
• Mean-VaR portfolio optimization: a nonparametric approach
• Accelerating variance-reduced stochastic gradient methods
• Uncertainty and Risk in Financial Markets

This page was built for publication: An improvement of stochastic gradient descent approach for mean-variance portfolio optimization problem