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An Adaptive News-Driven Method for CVaR-sensitive Online Portfolio Selection in Non-Stationary Financial Markets.
Qianqiao Liang
Mengying Zhu
Xiaolin Zheng
Yan Wang
Published in:
IJCAI (2021)
Keyphrases
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portfolio selection
non stationary
financial markets
adaptive algorithms
objective function
long term
empirical mode decomposition
dynamic programming
probabilistic model
combinatorial optimization
stock price
portfolio optimization
portfolio management