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A new algorithm for calibrating agent-based models is proposed, which employs a popular gradient boosting framework …
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Part I: Combinatorial Optimization, Complexity Theory and Problem Modelling -- 1. Elements of Graphs and Complexity … Theory -- 2. A Short List of Combinatorial Optimization Problems -- 3. Problem Modelling -- Part II: Basic Heuristic … chapters reviewing the basics of combinatorial optimization and complexity theory make the book self-contained. As such, even …
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With the recent rise of Machine Learning (ML) as a candidate to partially replace classic Financial Mathematics (FM) methodologies, we investigate the performances of both in solving the problem of dynamic portfolio optimization in continuous-time, finite-horizon setting for a portfolio of two...
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