Search Results for author: Babak Mahdavi-Damghani

Found 1 papers, 0 papers with code

Portfolio Optimization for Cointelated Pairs: SDEs vs. Machine Learning

no code implementations26 Dec 2018 Babak Mahdavi-Damghani, Konul Mustafayeva, Stephen Roberts, Cristin Buescu

With the recent rise of Machine Learning as a candidate to partially replace classic Financial Mathematics methodologies, we investigate the performances of both in solving the problem of dynamic portfolio optimization in continuous-time, finite-horizon setting for a portfolio of two assets that are intertwined.

BIG-bench Machine Learning Clustering +1

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