Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios
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Publication:5886361
DOI10.1137/21M1427176MaRDI QIDQ5886361
Publication date: 31 March 2023
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
high dimensionality; Bayesian estimation; Bayesian optimization; sequential regularization; sequential hyperparameter tuning; sequential portfolio selection
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