SOTAVerified

Portfolio Optimization

Portfolio management is the task of obtaining higher excess returns through the flexible allocation of asset weights. In reality, common examples are stock selection and the Enhanced Index Fund (EIF). The general solution of portfolio management is to score the potential of assets, buy assets with upside potential and increase their weighting, and sell assets that are likely to fall or are relatively weak. A large number of strategies have been proposed for portfolio management.

Papers

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Showing 51–100 of 428 papers

TitleStatusHype
Generative model for financial time series trained with MMD using a signature kernelCode0
Efficient Solution of Portfolio Optimization Problems via Dimension Reduction and SparsificationCode0
Improving Portfolio Optimization Results with Bandit NetworksCode0
Off-Policy Optimization of Portfolio Allocation Policies under ConstraintsCode0
Autonomous Sparse Mean-CVaR Portfolio OptimizationCode0
Deep Reinforcement Learning for Long-Short Portfolio OptimizationCode0
Continuous-Time Mean-Variance Portfolio Selection: A Reinforcement Learning FrameworkCode0
Constrained regret minimization for multi-criterion multi-armed banditsCode0
A Deep Reinforcement Learning Framework for Dynamic Portfolio Optimization: Evidence from China's Stock MarketCode0
OmniEcon Nexus: Global Microeconomic Simulation EngineCode0
Stochastic Control Barrier Functions for EconomicsCode0
A Surrogate Objective Framework for Prediction+Programming with Soft Constraints—0
A Study of Correlations in the Stock Market—0
MSPM: A Modularized and Scalable Multi-Agent Reinforcement Learning-based System for Financial Portfolio Management—0
Asset Allocation via Machine Learning and Applications to Equity Portfolio Management—0
A singular stochastic control approach for optimal pairs trading with proportional transaction costs—0
A Modified CTGAN-Plus-Features Based Method for Optimal Asset Allocation—0
Advancing Investment Frontiers: Industry-grade Deep Reinforcement Learning for Portfolio Optimization—0
A Sentiment Analysis Approach to the Prediction of Market Volatility—0
A mixture transition distribution approach to portfolio optimization—0
A Robust Statistics Approach to Minimum Variance Portfolio Optimization—0
A Macroscopic Portfolio Model: From Rational Agents to Bounded Rationality—0
A discussion of stochastic dominance and mean-risk optimal portfolio problems based on mean-variance-mixture models—0
A Comparative Study of Hierarchical Risk Parity Portfolio and Eigen Portfolio on the NIFTY 50 Stocks—0
A refinement of Bennett's inequality with applications to portfolio optimization—0
Arbitrage concepts under trading restrictions in discrete-time financial markets—0
A Quantum Computing-based System for Portfolio Optimization using Future Asset Values and Automatic Reduction of the Investment Universe—0
Aproximación práctica a los métodos de selección de portafolios de inversión—0
A Krasnoselskii-Mann Proximity Algorithm for Markowitz Portfolios with Adaptive Expected Return Level—0
Application of Quantum Computers in Foreign Exchange Reserves Management—0
Application of maximal monotone operator method for solving Hamilton-Jacobi-Bellman equation arising from optimal portfolio selection problem—0
A hybrid level-based learning swarm algorithm with mutation operator for solving large-scale cardinality-constrained portfolio optimization problems—0
Application of Black-Litterman Bayesian in Statistical Arbitrage—0
Company classification using machine learning—0
A parsimonious neural network approach to solve portfolio optimization problems without using dynamic programming—0
Dynamic CVaR Portfolio Construction with Attention-Powered Generative Factor Learning—0
A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization with MGARCH and Small Transaction Costs—0
A Comparative Analysis of Portfolio Optimization Using Mean-Variance, Hierarchical Risk Parity, and Reinforcement Learning Approaches on the Indian Stock Market—0
Deep Stock Trading: A Hierarchical Reinforcement Learning Framework for Portfolio Optimization and Order Execution—0
A novel prediction based portfolio optimization model using deep learning—0
Combining Transformer based Deep Reinforcement Learning with Black-Litterman Model for Portfolio Optimization—0
Combining Reinforcement Learning and Barrier Functions for Adaptive Risk Management in Portfolio Optimization—0
A novel portfolio construction strategy based on the core-periphery profile of stocks—0
Community detection and portfolio optimization—0
A Graphical Global Optimization Framework for Parameter Estimation of Statistical Models with Nonconvex Regularization Functions—0
Compositional Stochastic Average Gradient for Machine Learning and Related Applications—0
Clustering Time Series Data with Gaussian Mixture Embeddings in a Graph Autoencoder Framework—0
Conditional Analysis and a Principal-Agent problem—0
Consistent Calibration of Economic Scenario Generators: The Case for Conditional Simulation—0
A novel multi-agent dynamic portfolio optimization learning system based on hierarchical deep reinforcement learning—0
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Benchmark Results

#ModelMetricClaimedVerifiedStatus
1Different modelPortfolio1—Unverified