Portfolio Optimization

27 papers with code • 0 benchmarks • 0 datasets

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Most implemented papers

A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem

ZhengyaoJiang/PGPortfolio 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.

Stock Price Correlation Coefficient Prediction with ARIMA-LSTM Hybrid Model

imhgchoi/Corr_Prediction_ARIMA_LSTM_Hybrid 5 Aug 2018

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

Artificial Counselor System for Stock Investment

bghojogh/Fuzzy-Investment-Counselor Proceedings of the AAAI Conference on Artificial Intelligence 2019

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

Deep Learning for Portfolio Optimization

shilewenuw/deep-learning-portfolio-optimization 27 May 2020

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

Automatically Learning Compact Quality-aware Surrogates for Optimization Problems

guaguakai/surrogate-optimization-learning NeurIPS 2020

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.

Bayesian Optimization of Risk Measures

saitcakmak/BoRisk NeurIPS 2020

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 $W$.

Portfolio Construction as Linearly Constrained Separable Optimization

JuliaFirstOrder/SeparableOptimization.jl 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.

Smart "Predict, then Optimize"

paulgrigas/smartpredictthenoptimize 22 Oct 2017

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

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

stephaneckstein/transport-and-related 23 Feb 2018

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

Reweighted Price Relative Tracking System for Automatic Portfolio Optimization

Marigold/universal-portfolios IEEE Transactions on Systems, Man, and Cybernetics 2018

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