BOOSTING-BASED FRAMEWORK FOR PORTFOLIO STRATEGY DISCOVERY AND OPTIMIZATION
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Recommendations
- Discovery of multi-component portfolio strategies with continuous tuning to the changing market micro-regimes using input-dependent boosting.
- Probabilistic optimization with application to portofolio selection
- A Hybrid Approach of Optimization and Sampling for Robust Portfolio Selection
- A computational intelligence method for solving a class of portfolio optimization problems
- A bi‐level programming framework for identifying optimal parameters in portfolio selection
- Kernel search: a new heuristic framework for portfolio selection
- scientific article; zbMATH DE number 7267180
- Competitive portfolio selection using stochastic predictions
Cites work
- A decision-theoretic generalization of on-line learning and an application to boosting
- A theory of the learnable
- Boosting-Based Frameworks in Financial Modeling: Application to Symbolic Volatility Forecasting
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- scientific article; zbMATH DE number 1304648 (Why is no real title available?)
- scientific article; zbMATH DE number 1332320 (Why is no real title available?)
- scientific article; zbMATH DE number 928746 (Why is no real title available?)
- scientific article; zbMATH DE number 236854 (Why is no real title available?)
- Making a Case for Robust Optimization Models
- Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition
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