Regularization methods for sparse ESG-valued multi-period portfolio optimization with return prediction using machine learning.
Zhongming WuLiu YangYue FeiXiulai WangPublished in: Expert Syst. Appl. (2023)
Keyphrases
- multi period
- portfolio optimization
- regularization methods
- machine learning
- portfolio selection
- total variation
- routing problem
- factor analysis
- active learning
- lot sizing
- learning algorithm
- robust optimization
- optimization methods
- stock market
- stock price
- multistage
- feature selection
- data mining
- reinforcement learning
- image restoration
- semi supervised learning
- model selection
- text classification