Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network
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Publication:5139230
DOI10.1080/14697688.2020.1729994zbMath1454.91231OpenAlexW3015645024MaRDI QIDQ5139230
Jing Ye, John M. Mulvey, Mengdi Wang, Yifan Sun
Publication date: 7 December 2020
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2020.1729994
stochastic programmingportfolio optimizationstatistical learning theoryasset allocationportfolio allocation
Related Items (4)
Lifetime consumption and investment with housing, deferred annuities and home equity release ⋮ Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks ⋮ Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency ⋮ Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients
Uses Software
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