Randomized signature methods in optimal portfolio selection

DOI10.1080/14697688.2025.2458613MaRDI QIDQ7002436zbMATH OpenFDO

Authors Erdinç Akyıldırım, Josef Teichmann

Publication date 3 April 2025

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2025.2458613

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Portfolio theory (91G10)

Cites work

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• Optimal stopping with signatures
• Risk parity portfolio optimization under a Markov regime-switching framework
• Risk parity portfolios with risk factors
• The Impact of Proportional Transaction Costs on Systematically Generated Portfolios
• Volatility is (mostly) path-dependent

Cited in

(1)

• Signature methods in stochastic portfolio theory

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