Portfolio optimization for cointelated pairs: SDEs vs Machine learning.
Babak Mahdavi-DamghaniKonul MustafayevaCristin BuescuStephen RobertsPublished in: Algorithmic Finance (2020)
Keyphrases
- portfolio optimization
- machine learning
- portfolio selection
- problems involving
- portfolio management
- robust optimization
- stock market
- risk management
- factor analysis
- bi objective
- data mining
- information extraction
- optimization methods
- artificial intelligence
- stock price
- text mining
- natural language processing
- data analysis
- statistical methods
- multistage
- stock exchange
- genetic algorithm
- case based reasoning