Quantitative stock portfolio optimization by multi-task learning risk and return.
Yu MaRui MaoQika LinPeng WuErik CambriaPublished in: Inf. Fusion (2024)
Keyphrases
- portfolio optimization
- multi task learning
- sharpe ratio
- stock market
- stock price
- multi task
- portfolio management
- stock exchange
- gaussian processes
- problems involving
- learning problems
- risk management
- high order
- learning tasks
- theoretical analysis
- transfer learning
- historical data
- short term
- portfolio selection
- investment decisions
- robust optimization
- learning models
- factor analysis
- financial data
- financial time series
- optimization methods
- bi objective
- news articles
- machine learning
- learning algorithm
- non stationary
- transaction costs
- reinforcement learning
- multi class
- supervised learning
- simulated annealing