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A Machine Learning Plus-Features Based Approach for Optimal Asset Allocation.
Domingo Ramírez
José-Manuel Peña
Fernando Suárez
Omar Larré
Arturo Cifuentes
Published in:
ICAIF (2023)
Keyphrases
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machine learning
dynamic programming
feature space
data mining
artificial intelligence
feature vectors
asset allocation
feature extraction
non stationary
mathematical programming
pareto optimal
asymptotically optimal