Portfolio Optimization

37 papers with code • 0 benchmarks • 0 datasets

Portfolio management is the task of obtaining higher excess returns through the flexible allocation of asset weights. In reality, common examples are stock selection and the Enhanced Index Fund (EIF). The general solution of portfolio management is to score the potential of assets, buy assets with upside potential and increase their weighting, and sell assets that are likely to fall or are relatively weak. A large number of strategies have been proposed for portfolio management.

Stochastic Control Barrier Functions for Economics

davidvwijk/econcbf 19 Dec 2023

Numerical simulations are used to demonstrate the effectiveness of using traditional control solutions in tandem with CBFs and stochastic CBFs to solve such problems in the presence of state constraints.

2
19 Dec 2023

Margin Trader: A Reinforcement Learning Framework for Portfolio Management with Margin and Constraints

JingyiGu/Margin-Trader The 4th ACM International Conference on AI in Finance 2023

In the field of portfolio management using reinforcement learn- ing, existing approaches have mainly focused on cash-only trading, overlooking the potential benefits and risks of margin trading.

3
25 Nov 2023

Bounce: Reliable High-Dimensional Bayesian Optimization for Combinatorial and Mixed Spaces

leoiv/bounce NeurIPS 2023

Impactful applications such as materials discovery, hardware design, neural architecture search, or portfolio optimization require optimizing high-dimensional black-box functions with mixed and combinatorial input spaces.

3
02 Jul 2023

Efficient Solution of Portfolio Optimization Problems via Dimension Reduction and Sparsification

cassiebuhler/pods 22 Jun 2023

The size reduction is based on predictions from machine learning techniques and the solution to a linear programming problem.

1
22 Jun 2023

A Simple Method for Predicting Covariance Matrices of Financial Returns

cvxgrp/cov_pred_finance 31 May 2023

We also test covariance predictors on downstream applications such as portfolio optimization methods that depend on the covariance matrix.

39
31 May 2023

Online Portfolio Management via Deep Reinforcement Learning with High-Frequency Data

jiahaoli57/LSRE-CAAN Information Processing & Management 2023

In addition, while the vast majority of SOTA strategies maintain a poor turnover rate of approximately greater than 50% on average, our framework enjoys a relatively low turnover rate on all datasets, efficiency analysis illustrates that our framework no longer has the quadratic dependency limitation.

12
01 May 2023

Metaheuristic Approach to Solve Portfolio Selection Problem

taylankabbani/metaheuristic-approach-to-solve-portfolio-selection-problem 10 Nov 2022

In this paper, a heuristic method based on TabuSearch and TokenRing Search is being used in order to solve the Portfolio Optimization Problem.

2
10 Nov 2022

Langevin dynamics based algorithm e-TH$\varepsilon$O POULA for stochastic optimization problems with discontinuous stochastic gradient

dongyounglim/etheopoula 24 Oct 2022

We introduce a new Langevin dynamics based algorithm, called e-TH$\varepsilon$O POULA, to solve optimization problems with discontinuous stochastic gradients which naturally appear in real-world applications such as quantile estimation, vector quantization, CVaR minimization, and regularized optimization problems involving ReLU neural networks.

2
24 Oct 2022

Markov Decision Processes under Model Uncertainty

juliansester/robust-portfolio-optimization 13 Jun 2022

We introduce a general framework for Markov decision problems under model uncertainty in a discrete-time infinite horizon setting.

12
13 Jun 2022

Distributionally Robust End-to-End Portfolio Construction

iyengar-lab/e2e-dro 10 Jun 2022

Our proposed distributionally robust end-to-end portfolio selection system explicitly accounts for the impact of model risk.

18
10 Jun 2022