Machine learning and portfolio optimization
Gah-Yi Ban, Noureddine El Karoui, Andrew E. B. Lim
| Year of publication: |
March 2018
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|---|---|
| Authors: | Ban, Gah-Yi ; El Karoui, Noureddine ; Lim, Andrew E. B. |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 64.2018, 3, p. 1136-1154
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| Subject: | machine learning | portfolio optimization | robust optimization | regularization | cross-validation | conditional value-at-risk | Portfolio-Management | Portfolio selection | Künstliche Intelligenz | Artificial intelligence | Risikomaß | Risk measure | Robustes Verfahren | Robust statistics | Mathematische Optimierung | Mathematical programming | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2016.2644 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011847178