Portfolio optimization for cointelated pairs: SDEs vs Machine learning

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Publication:5156840

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DOI10.3233/AF-200311zbMath1471.91506arXiv1812.10183OpenAlexW3094193328MaRDI QIDQ5156840

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Publication date: 12 October 2021

Published in: Algorithmic Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.10183

zbMATH Keywords

stochastic control portfolio optimization pairs trading deep learning band-wise Gaussian mixture cointelation

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Portfolio theory (91G10)

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