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Portfolio Optimization Under Regime Switching and Transaction Costs: Combining Neural Networks and Dynamic Programs.
Xiaoyue Li
John M. Mulvey
Published in:
INFORMS J. Optim. (2021)
Keyphrases
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transaction costs
portfolio optimization
portfolio management
portfolio selection
neural network
stock exchange
stock market
problems involving
stock price
genetic algorithm
multi objective
dynamic programming
source code
optimization methods
bi objective