Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network
John M. Mulvey, Yifan Sun, Mengdi Wang and Jing Ye
| Year of publication: |
2020
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|---|---|
| Authors: | Mulvey, John M. ; Sun, Yifan ; Wang, Mengdi ; Ye, Jing |
| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2020.1729994 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012262660