Portfolio optimization for cointelated pairs: SDEs vs Machine learning (Q5156840)
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scientific article; zbMATH DE number 7408848
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| English | Portfolio optimization for cointelated pairs: SDEs vs Machine learning |
scientific article; zbMATH DE number 7408848 |
Statements
Portfolio optimization for cointelated pairs: SDEs vs Machine learning (English)
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12 October 2021
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pairs trading
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cointelation
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portfolio optimization
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stochastic control
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band-wise Gaussian mixture
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deep learning
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0.8628243
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0.8477815
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0.84287715
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0.8407399
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0.8404723
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0.8403158
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0.8400872
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