Multi-period portfolio selection using kernel-based control policy with dimensionality reduction

Author:

Takano Yuichi,Gotoh Jun-ya

Funder

JSPS KAKENHI

Publisher

Elsevier BV

Subject

Artificial Intelligence,Computer Science Applications,General Engineering

Reference34 articles.

1. Asymptotic optimality and asymptotic equipartition properties of log-optimum investment;Algoet;The Annals of Probability,1988

2. On market-neutral stock trading arbitrage via linear feedback;Barmish;Proceedings of the American Control Conference (ACC),2012

3. Non-parametric approximate dynamic programming via the kernel method;Bhat;Proceedings of the Advances in Neural Information Processing Systems (NIPS),2012

4. Performance bounds and suboptimal policies for multi-period investment;Boyd;Foundations and Trends in Optimization,2012

5. Multi-period portfolio optimization with linear control policies;Calafiore;Automatica,2008

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