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Learning Time Varying Risk Preferences from Investment Portfolios using Inverse Optimization with Applications on Mutual Funds.
Shi Yu
Yuxin Chen
Chaosheng Dong
Published in:
CoRR (2020)
Keyphrases
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decision making
learning process
optimization algorithm
learning systems
learning problems
learning algorithm
online learning
portfolio optimization
supervised learning
global optimization
bayesian networks
reinforcement learning
prior knowledge
knowledge acquisition