Machine Learning and Portfolio Optimization.
Gah-Yi BanNoureddine El KarouiAndrew E. B. LimPublished in: Manag. Sci. (2018)
Keyphrases
- portfolio optimization
- machine learning
- portfolio selection
- portfolio management
- problems involving
- factor analysis
- robust optimization
- bi objective
- stock exchange
- risk management
- stock market
- optimization methods
- information extraction
- data mining
- feature selection
- stock price
- mathematical programming
- data analysis
- statistically significant
- decision making
- short term
- unsupervised learning
- long term