Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios

DOI10.1137/21M1427176MaRDI QIDQ5886361zbMATH OpenOpenAlexFDO

Authors Chi Seng Pun

Publication date 31 March 2023

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/21m1427176

zbMATH Keywords

high dimensionalityBayesian estimationBayesian optimizationsequential regularizationsequential hyperparameter tuningsequential portfolio selection

Mathematics Subject Classification ID

Linear programming (90C05) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

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• scientific article; zbMATH DE number 6276166 (Why is no real title available?)
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• On the Bayesian interpretation of Black-Litterman
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• The asymptotic expansion of a ratio of gamma functions
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• Vast portfolio selection with gross-exposure constraints

Cited in

(4)

• Bayesian learning in dynamic portfolio selection under a minimax rule
• Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns
• Optimization of expensive black-box problems with penalized expected improvement
• Bayesian adaptive portfolio optimization

Describes a project that uses

Uses Software

• SMAC
• Auto-WEKA
• Hyperopt
• Spearmint
• DiceOptim
• DiceKriging
• LBFGS-B
• L-BFGS
• L-BFGS-B

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