Portfolio Optimization
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A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem
Deep Learning for Portfolio Optimization
Stock Price Correlation Coefficient Prediction with ARIMA-LSTM Hybrid Model
Qlib: An AI-oriented Quantitative Investment Platform
Bayesian Optimization of Risk Measures
Papers
Optimal Momentum Methods for Stochastic Multilevel Compositional Optimization
This paper investigates stochastic multi-level optimization where the objective is a nested composition of several smooth non-convex functions. We assume that only stochastic estimates of the gradient and function values…
Portfolio OptimizationLLMDE: A Large Language Model-Driven Differential Evolution Algorithm for Portfolio Optimization
This study proposes a Large Language Model-Driven Differential Evolution (LLMDE) algorithm to reduce the reliance on handcrafted hyperparameter design. The proposed algorithm leverages a prompt engineering strategy, allo…
Portfolio OptimizationPrompt EngineeringLearning Discrete Decisions for MIPs with Constraint-Aware Diffusion
This paper proposes a novel learning-based approach to approximately solve instances of mixed-integer optimization problems. These problems are computationally challenging, as they require jointly determining discrete an…
Portfolio OptimizationNeural Network-Driven Volatility Drag Mitigation under Aggressive Leverage
This paper introduces a compact reformulation of a modular end-to-end neural network for global minimum-variance portfolio optimization that decouples model complexity from both look-back window length and universe size.…
Portfolio OptimizationLarge-Scale Portfolio Optimization Problem Under Cardinality Constraint With Enhanced Multi-Objective Evolutionary Algorithms
Decision-making is posing an increasingly formidable challenge to investors because of the growing number of alternatives available in financial markets. A hot area of research over the past few decades has been portfoli…
Portfolio OptimizationDeep Reinforcement Learning for Reliability Based Bi-Objective Portfolio Optimization
Portfolio optimization under uncertainty is inherently a multi-objective decision problem involving complex interactions among return, risk, market dynamics, and practical investment constraints. Existing reliability bas…
Reinforcement LearningPortfolio OptimizationDecision Making