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Portfolio Optimization
Papers archive 2025-07-28
archive papers tagged: 428 · with a code link: 61 · where Syntology ran a sample: 10 (8 with a run with no instrument failure, 2 where every run was a failure of Syntology's instrument) Syntology
Show: all tagged papersonly where code ran (10 of 428 tagged: 8 with a run with no instrument failure, 2 where every run was a failure of Syntology's instrument)
Page 4 of 5: papers 301 to 400 of 428, in archive order: by repositories listed in the archive (most first), then newest first, not by stars (the archive holds no stars, so PwC's “Social” and “Latest” sorts cannot be reproduced). Papers that list no repository come after every paper that lists one.
Papers without a page here are shown as plain text. A Syntology line reads “N ran (of which C constructed an object rather than computing a result; K with no instrument failure: H honoured, V violated, P with no contract checked; I where Syntology's instrument failed) · U unverified”; the figure “where Syntology's instrument failed” counts failures of Syntology's instrument, not of the code. When the archive marks a repository official for the paper, the line starts with that repository's state (the archive's flag, not a verdict on who wrote the code); hover it for the repositories the samples that ran came from. Abstracts are on each paper's page.
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TSEC: a framework for online experimentation under experimental constraints17 Jan 2021 0 repositories listed
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Deep learning for efficient frontier calculation in finance6 Jan 2021 0 repositories listed
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Risk Guarantees for End-to-End Prediction and Optimization Processes30 Dec 2020 0 repositories listed
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Portfolio Optimization with 2D Relative-Attentional Gated Transformer27 Dec 2020 0 repositories listed
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Deep Stock Trading: A Hierarchical Reinforcement Learning Framework for Portfolio Optimization and Order Execution23 Dec 2020 0 repositories listed
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Deep Portfolio Optimization via Distributional Prediction of Residual Factors14 Dec 2020 0 repositories listed
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Portfolio optimization with two quasiconvex risk measures11 Dec 2020 0 repositories listed
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A Sentiment Analysis Approach to the Prediction of Market Volatility10 Dec 2020 0 repositories listed
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Deep Reinforcement Learning for Stock Portfolio Optimization9 Dec 2020 0 repositories listed
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Modeling asset allocation strategies and a new portfolio performance score9 Dec 2020 0 repositories listed
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Optimal Payoff under the Generalized Dual Theory of Choice1 Dec 2020 0 repositories listed
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Prospects and challenges of quantum finance12 Nov 2020 0 repositories listed
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Asset Allocation via Machine Learning and Applications to Equity Portfolio Management1 Nov 2020 0 repositories listed
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Discrete-time portfolio optimization under maximum drawdown constraint with partial information and deep learning resolution29 Oct 2020 0 repositories listed
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Robust Optimization Approaches for Portfolio Selection: A Computational and Comparative Analysis26 Oct 2020 0 repositories listed
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Beating the market with a bad predictive model23 Oct 2020 0 repositories listed
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Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk18 Oct 2020 0 repositories listed
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Use Cases of Quantum Optimization for Finance3 Oct 2020 0 repositories listed
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Robust Utility Maximization in a Multivariate Financial Market with Stochastic Drift30 Sep 2020 0 repositories listed
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Wasserstein Distributionally Robust Inverse Multiobjective Optimization30 Sep 2020 0 repositories listed
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Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation23 Sep 2020 0 repositories listed
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Generalized distance to a simplex and a new geometrical method for portfolio optimization18 Sep 2020 0 repositories listed
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Solving the Optimal Trading Trajectory Problem Using Simulated Bifurcation17 Sep 2020 0 repositories listed
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Detecting and adapting to crisis pattern with context based Deep Reinforcement Learning7 Sep 2020 0 repositories listed
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Preference Robust Optimization with Quasi-Concave Choice Functions in Multi-Attribute Decision-Making: Characterization and Computation31 Aug 2020 0 repositories listed
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Sparse High-Order Portfolios via Proximal DCA and SCA29 Aug 2020 0 repositories listed
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Portfolio Optimization of 60 Stocks Using Classical and Quantum Algorithms19 Aug 2020 0 repositories listed
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Portfolio Optimization on the Dispersion Risk and the Asymmetric Tail Risk28 Jul 2020 0 repositories listed
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Portfolio Optimization of 40 Stocks Using the DWave Quantum Annealer2 Jul 2020 0 repositories listed
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Stock Embeddings Acquired from News Articles and Price History, and an Application to Portfolio Optimization1 Jul 2020 0 repositories listed
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Arbitrage concepts under trading restrictions in discrete-time financial markets28 Jun 2020 0 repositories listed
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Risk-Sensitive Reinforcement Learning: a Martingale Approach to Reward Uncertainty23 Jun 2020 0 repositories listed
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Robust portfolio optimization with multi-factor stochastic volatility15 Jun 2020 0 repositories listed
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Mean-Variance Portfolio Management with Functional Optimization26 May 2020 0 repositories listed
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RM-CVaR: Regularized Multiple β-CVaR Portfolio28 Apr 2020 0 repositories listed
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On Capital Allocation under Information Constraints21 Apr 2020 0 repositories listed
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Consistent Calibration of Economic Scenario Generators: The Case for Conditional Simulation20 Apr 2020 0 repositories listed
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Company classification using machine learning31 Mar 2020 0 repositories listed
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Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs3 Mar 2020 0 repositories listed
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Semi-metric portfolio optimization: a new algorithm reducing simultaneous asset shocks26 Jan 2020 0 repositories listed
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A Note on Portfolio Optimization with Quadratic Transaction Costs6 Jan 2020 0 repositories listed
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A Gated Recurrent Unit Approach to Bitcoin Price Prediction24 Dec 2019 0 repositories listed
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Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for the financial crisis21 Dec 2019 0 repositories listed
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A singular stochastic control approach for optimal pairs trading with proportional transaction costs24 Nov 2019 0 repositories listed
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Bayesian Filtering for Multi-period Mean-Variance Portfolio Selection18 Nov 2019 0 repositories listed
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Personalized Robo-Advising: Enhancing Investment through Client Interaction4 Nov 2019 0 repositories listed
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Residual Switching Network for Portfolio Optimization16 Oct 2019 0 repositories listed
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Portfolio optimization in the case of an exponential utility function and in the presence of an illiquid asset15 Oct 2019 0 repositories listed
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Singular Perturbation Expansion for Utility Maximization with Order-ε Quadratic Transaction Costs14 Oct 2019 0 repositories listed
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Portfolio Cuts: A Graph-Theoretic Framework to Diversification12 Oct 2019 0 repositories listed
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Optimal Convergence Trading with Unobservable Pricing Errors3 Oct 2019 0 repositories listed
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Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization30 Sep 2019 0 repositories listed
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Machine Learning Optimization Algorithms & Portfolio Allocation23 Sep 2019 0 repositories listed
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Utilizing Dependence among Variables in Evolutionary Algorithms for Mixed-Integer Programming: A Case Study on Multi-Objective Constrained Portfolio Optimization19 Sep 2019 0 repositories listed
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Relationship between optimal portfolios which can maximize and minimize the expected return21 Aug 2019 0 repositories listed
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Is being `Robust' beneficial?: A perspective from the Indian market14 Aug 2019 0 repositories listed
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Portfolio Optimization Managing Value at Risk under Heavy Tail Return, using Stochastic Maximum Principle11 Aug 2019 0 repositories listed
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Neural networks-based backward scheme for fully nonlinear PDEs31 Jul 2019 0 repositories listed
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When can we improve on sample average approximation for stochastic optimization?19 Jul 2019 0 repositories listed
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Location and portfolio selection problems: A unified framework15 Jul 2019 0 repositories listed
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Learning Threshold-Type Investment Strategies with Stochastic Gradient Method4 Jul 2019 0 repositories listed
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Smart network based portfolios2 Jul 2019 0 repositories listed
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Macroscopic theorem of the portfolio optimization problem with a risk-free asset20 Jun 2019 0 repositories listed
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Understanding Distributional Ambiguity via Non-robust Chance Constraint3 Jun 2019 0 repositories listed
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Many-player games of optimal consumption and investment under relative performance criteria28 May 2019 0 repositories listed
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Risk-Sensitive Credit Portfolio Optimization under Partial Information and Contagion Risk20 May 2019 0 repositories listed
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Merton's portfolio problem under Volterra Heston model14 May 2019 0 repositories listed
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Model-Free Reinforcement Learning for Financial Portfolios: A Brief Survey10 Apr 2019 0 repositories listed
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Portfolio optimization with two coherent risk measures25 Mar 2019 0 repositories listed
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Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi Bellman equation24 Mar 2019 0 repositories listed
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Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment19 Feb 2019 0 repositories listed
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Calculating CVaR and bPOE for Common Probability Distributions With Application to Portfolio Optimization and Density Estimation17 Feb 2019 0 repositories listed
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Minimal Investment Risk with Cost and Return Constraints: A Replica Analysis30 Jan 2019 0 repositories listed
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Asymptotic Optimal Portfolio in Fast Mean-reverting Stochastic Environments29 Jan 2019 0 repositories listed
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Model-based Deep Reinforcement Learning for Dynamic Portfolio Optimization25 Jan 2019 0 repositories listed
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Portfolio Optimization under Fast Mean-reverting and Rough Fractional Stochastic Environment24 Jan 2019 0 repositories listed
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Portfolio Optimization for Cointelated Pairs: SDEs vs. Machine Learning26 Dec 2018 0 repositories listed
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A Big data analytical framework for portfolio optimization24 Nov 2018 0 repositories listed
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Expected Utility Maximization and Conditional Value-at-Risk Deviation-based Sharpe Ratio in Dynamic Stochastic Portfolio Optimization27 Oct 2018 0 repositories listed
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A Macroscopic Portfolio Model: From Rational Agents to Bounded Rationality26 Oct 2018 0 repositories listed
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On the solution uniqueness in portfolio optimization and risk analysis26 Oct 2018 0 repositories listed
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Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching24 Oct 2018 0 repositories listed
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Portfolio Optimization in Fractional and Rough Heston Models27 Sep 2018 0 repositories listed
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Pairs Trading under Drift Uncertainty and Risk Penalization23 Sep 2018 0 repositories listed
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Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization11 Sep 2018 0 repositories listed
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Compositional Stochastic Average Gradient for Machine Learning and Related Applications4 Sep 2018 0 repositories listed
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Learning to Optimize Contextually Constrained Problems for Real-Time Decision-Generation23 May 2018 0 repositories listed
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A refinement of Bennett's inequality with applications to portfolio optimization16 Apr 2018 0 repositories listed
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Scaling properties of extreme price fluctuations in Bitcoin markets22 Mar 2018 0 repositories listed
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Stock market as temporal network13 Dec 2017 0 repositories listed
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Optimal portfolios with anticipating information on the stochastic interest rate9 Nov 2017 0 repositories listed
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Sparse Portfolio Selection via the sorted ℓ₁-Norm6 Oct 2017 0 repositories listed
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Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations18 Sep 2017 0 repositories listed
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Random matrix approach for primal-dual portfolio optimization problems14 Sep 2017 0 repositories listed
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Portfolio Optimization with Entropic Value-at-Risk18 Aug 2017 0 repositories listed
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Fractal Optimization of Market Neutral Portfolio18 Dec 2016 0 repositories listed
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Optimal shrinkage-based portfolio selection in high dimensions7 Nov 2016 0 repositories listed
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Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance19 Sep 2016 0 repositories listed
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Replica Analysis for the Duality of the Portfolio Optimization Problem18 Sep 2016 0 repositories listed
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Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization13 Sep 2016 0 repositories listed