# Portfolio Optimization

27 papers with code • 0 benchmarks • 0 datasets

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# A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem

30 Jun 2017

They are, along with a number of recently reviewed or published portfolio-selection strategies, examined in three back-test experiments with a trading period of 30 minutes in a cryptocurrency market.

26

# Stock Price Correlation Coefficient Prediction with ARIMA-LSTM Hybrid Model

5 Aug 2018

Predicting the price correlation of two assets for future time periods is important in portfolio optimization.

3

# Artificial Counselor System for Stock Investment

This paper proposes a novel trading system which plays the role of an artificial counselor for stock investment.

2

# Deep Learning for Portfolio Optimization

27 May 2020

We adopt deep learning models to directly optimise the portfolio Sharpe ratio.

2

# Automatically Learning Compact Quality-aware Surrogates for Optimization Problems

Solving optimization problems with unknown parameters often requires learning a predictive model to predict the values of the unknown parameters and then solving the problem using these values.

2

# Bayesian Optimization of Risk Measures

We consider Bayesian optimization of objective functions of the form $\rho[ F(x, W) ]$, where $F$ is a black-box expensive-to-evaluate function and $\rho$ denotes either the VaR or CVaR risk measure, computed with respect to the randomness induced by the environmental random variable $W$.

2

# Portfolio Construction as Linearly Constrained Separable Optimization

9 Mar 2021

Mean-variance portfolio optimization problems often involve separable nonconvex terms, including penalties on capital gains, integer share constraints, and minimum position and trade sizes.

2

# Smart "Predict, then Optimize"

22 Oct 2017

Our SPO+ loss function can tractably handle any polyhedral, convex, or even mixed-integer optimization problem with a linear objective.

1

# Computation of optimal transport and related hedging problems via penalization and neural networks

23 Feb 2018

This paper presents a widely applicable approach to solving (multi-marginal, martingale) optimal transport and related problems via neural networks.

1

# Reweighted Price Relative Tracking System for Automatic Portfolio Optimization

In the portfolio optimizing stage, a novel tracking system with a generalized increasing factor is proposed to maximize the future wealth of next period.

1