Prediction and Portfolio Optimization in Quantitative Trading Using Machine Learning Techniques.
Van-Dai TaChuan-Ming LiuDireselign AddisPublished in: SoICT (2018)
Keyphrases
- portfolio optimization
- stock exchange
- financial time series
- stock market
- portfolio management
- sharpe ratio
- portfolio selection
- stock price
- problems involving
- financial markets
- bi objective
- robust optimization
- trading strategies
- factor analysis
- investment decisions
- long term
- risk management
- transaction costs
- optimization methods
- trading systems
- optimization algorithm
- management system