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An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization.

David H. BaileyMarcos López de Prado
Published in: Algorithms (2013)
Keyphrases
  • np hard
  • dynamic programming
  • cost function
  • linear programming
  • optimization algorithm
  • k means
  • combinatorial optimization
  • feature extraction
  • optimal solution
  • multi objective
  • particle swarm optimization