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 101–125 of 428 papers

TitleStatusHype
Simplex Decomposition for Portfolio Allocation Constraints in Reinforcement Learning—0
Quantum computing approach to realistic ESG-friendly stock portfolios—0
Using Machine Learning to Forecast Market Direction with Efficient Frontier Coefficients—0
Portfolio management using graph centralities: Review and comparison—0
Deep Reinforcement Learning and Mean-Variance Strategies for Responsible Portfolio Optimization—0
From Factor Models to Deep Learning: Machine Learning in Reshaping Empirical Asset Pricing—0
Advancing Investment Frontiers: Industry-grade Deep Reinforcement Learning for Portfolio Optimization—0
Finding Near-Optimal Portfolios With Quality-Diversity—0
Combining Transformer based Deep Reinforcement Learning with Black-Litterman Model for Portfolio Optimization—0
Portfolio Optimization under Transaction Costs with Recursive Preferences—0
Beyond Expectations: Learning with Stochastic Dominance Made Practical—0
FDR-Controlled Portfolio Optimization for Sparse Financial Index Tracking—0
Large (and Deep) Factor Models—0
Constrained Max Drawdown: a Fast and Robust Portfolio Optimization Approach—0
Optimization of portfolios with cryptocurrencies: Markowitz and GARCH-Copula model approach—0
Randomized Signature Methods in Optimal Portfolio Selection—0
Time-inconsistent mean field and n-agent games under relative performance criteria—0
Stochastic Control Barrier Functions for EconomicsCode0
Asset and Factor Risk Budgeting: A Balanced Approach—0
TaskMet: Task-Driven Metric Learning for Model LearningCode1
A General Framework for Portfolio Construction Based on Generative Models of Asset Returns—0
Margin Trader: A Reinforcement Learning Framework for Portfolio Management with Margin and ConstraintsCode0
Generative Machine Learning for Multivariate Equity Returns—0
Causal Inference on Investment Constraints and Non-stationarity in Dynamic Portfolio Optimization through Reinforcement Learning—0
Risk of Transfer Learning and its Applications in Finance—0
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Benchmark Results

#ModelMetricClaimedVerifiedStatus
1Different modelPortfolio1—Unverified