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A comprehensive machine learning framework for dynamic portfolio choice with transaction costs

Luca Gaegauf, Simon Scheidegger, Fabio Trojani
Year of publication:
[2023]
Authors: Gaegauf, Luca ; Scheidegger, Simon ; Trojani, Fabio
Publisher: Geneva : Swiss Finance Institute
Subject: Machine learning | computational finance | computational economics | Gaussian process regression | dynamic portfolio optimization | transaction costs | liquidity premia | Portfolio-Management | Portfolio selection | Transaktionskosten | Transaction costs | Künstliche Intelligenz | Artificial intelligence | Theorie | Theory | Computerunterstützung | Computerized method
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