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A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization With MGARCH and Small Transaction Costs.
Andrew Papanicolaou
Hao Fu
Prashanth Krishnamurthy
Farshad Khorrami
Published in:
IEEE Access (2023)
Keyphrases
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neural network
dynamic programming
k means
optimal solution
search space
learning algorithm
objective function
closed loop
machine learning
genetic algorithm
feature extraction
linear programming
expectation maximization
optimization methods
transaction costs
linear quadratic