Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns

DOI10.1137/19M1274924zbMath1444.91202OpenAlexW3034191109MaRDI QIDQ3295874

Hoi Ying Wong, Ka Ho Tsang

Publication date: 13 July 2020

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://www.researchgate.net/profile/Hoi_Ying_Wong/publication/333617865_Deep-Learning_Solution_to_Portfolio_Selection_with_Serially-Dependent_Returns/links/5cf7510d299bf1fb18598457/Deep-Learning-Solution-to-Portfolio-Selection-with-Serially-Dependent-Returns.pdf

zbMATH Keywords

neural networkMonte Carlo simulationGARCHportfolio optimizationutility maximizationhigh-dimensionalitydeep-learning

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Artificial neural networks and deep learning (68T07) Financial applications of other theories (91G80) Portfolio theory (91G10)

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Uses Software

• Adam

Cites Work

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