Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network
Year of publication: |
2020
|
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Authors: | Mulvey, John M. ; Sun, Yifan ; Wang, Mengdi ; Ye, Jing |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 8, p. 1239-1261
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Subject: | Asset allocation | Portfolio allocation | Portfolio optimization | Statistical learning theory | Stochastic programming | Portfolio-Management | Portfolio selection | Theorie | Theory | Transaktionskosten | Transaction costs | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Neuronale Netze | Neural networks |
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