Portfolio Optimization

20 papers with code • 0 benchmarks • 0 datasets

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Qlib: An AI-oriented Quantitative Investment Platform

22 Sep 2020

Quantitative investment aims to maximize the return and minimize the risk in a sequential trading period over a set of financial instruments.

6,559

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.

1,382

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.

408

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.

238

Model-based Deep Reinforcement Learning for Dynamic Portfolio Optimization

25 Jan 2019

Dynamic portfolio optimization is the process of sequentially allocating wealth to a collection of assets in some consecutive trading periods, based on investors' return-risk profile.

120

Combining Reinforcement Learning and Constraint Programming for Combinatorial Optimization

2 Jun 2020

In this work, we propose a general and hybrid approach, based on DRL and CP, for solving combinatorial optimization problems.

77

Online Mixed-Integer Optimization in Milliseconds

4 Jul 2019

Compared to state-of-the-art MIO routines, the online running time of our method is very predictable and can be lower than a single matrix factorization time.

45

Deep Deterministic Portfolio Optimization

13 Mar 2020

Can deep reinforcement learning algorithms be exploited as solvers for optimal trading strategies?

36

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.

Portfolio Optimization Optimization and Control Portfolio Management

10

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 $W$.

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