:: Library Catalog

Copertina

Salvato in:

Dettagli Bibliografici
Autore principale:	Lam, Duy Khanh
Natura:	Preprint
Pubblicazione:	2024
Soggetti:	Mathematical Finance Machine Learning Probability Portfolio Management
Accesso online:	https://arxiv.org/abs/2406.13486
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Sequential Portfolio Selection under Latent Side Information-Dependence Structure: Optimality and Universal Learning Algorithms
di: Lam, Duy Khanh
Pubblicazione: (2025)

Ensembling Portfolio Strategies for Long-Term Investments: A Distribution-Free Preference Framework for Decision-Making and Algorithms
di: Lam, Duy Khanh
Pubblicazione: (2024)

Beating the Best Constant Rebalancing Portfolio in Long-Term Investment: A Generalization of the Kelly Criterion and Universal Learning Algorithm for Markets with Serial Dependence
di: Lam, Duy Khanh
Pubblicazione: (2025)

The Interplay between Utility and Risk in Portfolio Selection
di: Baggiani, Leonardo, et al.
Pubblicazione: (2025)

Exploratory Mean-Variance Portfolio Optimization with Regime-Switching Market Dynamics
di: Chen, Yuling Max, et al.
Pubblicazione: (2025)

Exponential Hedging for the Ornstein-Uhlenbeck Process in the Presence of Linear Price Impact
di: Dolinsky, Yan
Pubblicazione: (2025)

Optimal mean-variance portfolio selection under regime-switching-induced stock price shocks
di: Shi, Xiaomin, et al.
Pubblicazione: (2025)

Optimizing Sparse Mean-Reverting Portfolio
di: Yoon, Sung Min
Pubblicazione: (2024)

Neural Functionally Generated Portfolios
di: Monoyios, Michael, et al.
Pubblicazione: (2025)

The Elasticity of Quantitative Investment
di: Davis, Carter
Pubblicazione: (2023)

Single-Period Portfolio Selection via Information Projection
di: Yang, Bo-Yu, et al.
Pubblicazione: (2026)

Local and Global Balance in Financial Correlation Networks: an Application to Investment Decisions
di: Bartesaghi, Paolo, et al.
Pubblicazione: (2025)

Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
di: Zhang, Panpan, et al.
Pubblicazione: (2023)

Understanding the Long-Only Minimum Variance Portfolio
di: Gunther, Nick L., et al.
Pubblicazione: (2026)

A Three--Dimensional Efficient Surface for Portfolio Optimization
di: Qiu, Yimeng
Pubblicazione: (2026)

Schur Complementary Allocation: A Unification of Hierarchical Risk Parity and Minimum Variance Portfolios
di: Cotton, Peter
Pubblicazione: (2024)

Loss-Versus-Rebalancing under Deterministic and Generalized block-times
di: Nezlobin, Alex, et al.
Pubblicazione: (2025)

Nonconcave Portfolio Choice under Smooth Ambiguity
di: Borgonovo, Emanuele, et al.
Pubblicazione: (2026)

Risk Budgeting Allocation for Dynamic Risk Measures
di: Pesenti, Silvana M., et al.
Pubblicazione: (2023)

Universal portfolios in continuous time: an approach in pathwise Itô calculus
di: Han, Xiyue, et al.
Pubblicazione: (2025)

Mirror Descent Algorithms for Risk Budgeting Portfolios
di: Iglesias, Martin Arnaiz, et al.
Pubblicazione: (2024)

On Unified Adaptive Black-Litterman Mean-Variance Portfolio Management
di: Li, Chi-Lin, et al.
Pubblicazione: (2023)

Kernel Learning for Mean-Variance Trading Strategies
di: Futter, Owen, et al.
Pubblicazione: (2025)

Markowitz Variance May Vastly Undervalue or Overestimate Portfolio Variance and Risks
di: Olkhov, Victor
Pubblicazione: (2025)

Mean-variance portfolio selection in jump-diffusion model under no-shorting constraint: A viscosity solution approach
di: Shi, Xiaomin, et al.
Pubblicazione: (2024)

Optimal payoff under Bregman-Wasserstein divergence constraints
di: Pesenti, Silvana M., et al.
Pubblicazione: (2024)

Optimal Investment under Mutual Strategy Influence among Agents
di: Wang, Huisheng, et al.
Pubblicazione: (2025)

Minimizing the Value-at-Risk of Loan Portfolio via Deep Neural Networks
di: Di Wang, Albert, et al.
Pubblicazione: (2025)

Portfolio Optimization with Robust Covariance and Conditional Value-at-Risk Constraints
di: Zhou, Qiqin
Pubblicazione: (2024)

Early-Warning Signals of Political Risk in Stablecoin Markets: Human and Algorithmic Behavior Around the 2024 U.S. Election
di: Mukhia, Kundan, et al.
Pubblicazione: (2025)

Deep Declarative Risk Budgeting Portfolios
di: Parra-Diaz, Manuel, et al.
Pubblicazione: (2025)

In-Sample and Out-of-Sample Sharpe Ratios for Linear Predictive Models
di: Jacquier, Antoine, et al.
Pubblicazione: (2025)

A Cholesky decomposition-based asset selection heuristic for sparse tangent portfolio optimization
di: Bae, Hyunglip, et al.
Pubblicazione: (2025)

Merton's Problem with Recursive Perturbed Utility
di: Dai, Min, et al.
Pubblicazione: (2026)

Retirement decision with addictive habit persistence in a jump diffusion market
di: Guan, Guohui, et al.
Pubblicazione: (2020)

Pathwise analysis of log-optimal portfolios
di: Allan, Andrew L., et al.
Pubblicazione: (2025)

Optimal portfolio under ratio-type periodic evaluation in stochastic factor models under convex trading constraints
di: Wang, Wenyuan, et al.
Pubblicazione: (2024)

A Geometric Approach To Asset Allocation With Investor Views
di: Antonov, Alexandre V., et al.
Pubblicazione: (2024)

High-Dimensional Mean-Variance Spanning Tests
di: Ardia, David, et al.
Pubblicazione: (2024)

Competitive optimal portfolio selection under mean-variance criterion
di: Shao, Guojiang, et al.
Pubblicazione: (2025)