Portfolio Optimization

20 papers with code • 0 benchmarks • 0 datasets

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Greatest papers with code

Qlib: An AI-oriented Quantitative Investment Platform

microsoft/qlib 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.

Portfolio Optimization Stock Market Prediction

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.

Portfolio Optimization

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.

Portfolio Optimization

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.

Portfolio Optimization

Model-based Deep Reinforcement Learning for Dynamic Portfolio Optimization

ibm-research-tokyo/dybm 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.

Data Augmentation Portfolio Optimization

Combining Reinforcement Learning and Constraint Programming for Combinatorial Optimization

qcappart/hybrid-cp-rl-solver 2 Jun 2020

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

Combinatorial Optimization Portfolio Optimization +1

Online Mixed-Integer Optimization in Milliseconds

bstellato/mlopt 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.

Motion Planning Portfolio Optimization

Deep Deterministic Portfolio Optimization

CFMTech/Deep-RL-for-Portfolio-Optimization 13 Mar 2020

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

Portfolio Optimization

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.

Portfolio Optimization Optimization and Control Portfolio Management

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 $W$.

Decision Making Decision Making Under Uncertainty +1