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Online Portfolio Selection with Cardinality Constraint and Transaction Costs based on Contextual Bandit.
Mengying Zhu
Xiaolin Zheng
Yan Wang
Qianqiao Liang
Wenfang Zhang
Published in:
IJCAI (2020)
Keyphrases
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portfolio selection
transaction costs
cardinality constraints
contextual bandit
portfolio management
financial markets
portfolio optimization
upper confidence bound
robust optimization
stock exchange
functional dependencies
data mining
np hard
object oriented
integrity constraints
multiple objectives