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DRICORN-K: A Dynamic RIsk CORrelation-driven Non-parametric Algorithm for Online Portfolio Selection.
Shivaar Sooklal
Terence L. van Zyl
Andrew Paskaramoorthy
Published in:
SACAIR (2020)
Keyphrases
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computational complexity
learning algorithm
worst case
neural network
objective function
optimal solution
np hard
simulated annealing
linear programming
optimization algorithm
portfolio selection
search space
evolutionary algorithm
knapsack problem
approximation algorithms
portfolio optimization