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Adaptive rolling window selection for minimum variance portfolio estimation based on reinforcement learning.
Bruno Gasperov
Fredi Saric
Stjepan Begusic
Zvonko Kostanjcar
Published in:
MIPRO (2020)
Keyphrases
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minimum variance
portfolio optimization
reinforcement learning
spectral estimation
estimation error
linear prediction
portfolio selection
problems involving
video sequences
feature vectors
wavelet transform
optimization methods
robust optimization