Deep learning for enhanced index tracking

DOI10.1080/14697688.2024.2356239zbMATH Open1542.91356MaRDI QIDQ6587735FDOQ6587735

Authors: Lingfei Li 

Publication date: 14 August 2024

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

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Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Portfolio theory (91G10)

Cites Work

• Quantitative risk management. Concepts, techniques and tools
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• An evolutionary heuristic for the index tracking problem.
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• Continuous-time Markowitz's model with transaction costs
• A mixed 0--1 LP for index tracking problem with CVaR risk constraints
• Tracking a Financial Benchmark Using a Few Assets
• Analysis of financial time series
• Optimal trend following trading rules
• Robust tracking error portfolio selection with worst-case downside risk measures
• Optimal construction and rebalancing of index-tracking portfolios
• A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
• Enhanced index tracking with CVaR-based ratio measures
• Equal risk pricing of derivatives with deep hedging
• Index tracking model, downside risk and non-parametric kernel estimation
• Data-driven hedging of stock index options via deep learning
• Is regime switching in stock returns important in portfolio decisions?
• Equity index replication with standard and robust regression estimators
• Optimal asset allocation for outperforming a stochastic benchmark target
• Deep hedging
• Outperformance and tracking: dynamic asset allocation for active and passive portfolio management
• Index tracking through deep latent representation learning
• Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality
• A data-driven deep learning approach for options market making

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