Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network

From MaRDI portal
Publication:5139230

DOI10.1080/14697688.2020.1729994zbMath1454.91231OpenAlexW3015645024MaRDI QIDQ5139230

Jing Ye, John M. Mulvey, Mengdi Wang, Yifan Sun

Publication date: 7 December 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1729994




Related Items (4)


Uses Software


Cites Work


This page was built for publication: Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network