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Graph Reinforcement Learning for Operator Selection in the ALNS Metaheuristic
ALNS is a popular metaheuristic with renowned efficiency in solving combinatorial optimisation problems.
Optimising portfolio diversification and dimensionality
It is based on a novel concept called portfolio dimensionality that connects diversification to the non-Gaussianity of portfolio returns and can typically be defined in terms of the ratio of risk measures which are homogenous functions of equal degree.
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