Portfolio optimization based on neural networks sensitivities from assets dynamics respect common drivers-Reference-Cited by-同舟云学术

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Portfolio optimization based on neural networks sensitivities from assets dynamics respect common drivers

Published:2023-03 Issue: Volume:11 Page:100447
ISSN:2666-8270
Container-title:Machine Learning with Applications
language:en
Short-container-title:Machine Learning with Applications

Author:

Rodriguez Dominguez Alejandro^ORCID

Publisher

Elsevier BV

Subject

General Medicine

Reference46 articles.

1. Hierarchical PCA and modeling asset correlations;Avellaneda,2020

2. Using the black-litterman global asset allocation model: Three;Bevan,1998

3. Asset allocation;Black;The Journal of Fixed Income,1991

4. Global portfolio optimization;Black;Financial Analysts Journal,1992

5. An unsupervised learning framework for marketneutral portfolio;Cuomo;Expert Systems with Applications,2022

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A Portfolio's Common Causal Conditional Risk-neutral PDE;SSRN Electronic Journal;2024

2. Artificial Intelligence in Finance (Aifi) Bootcamp February 2024 - Workshop Presentation - Portfolio optimization based on neural networks sensitivities from assets dynamics respect common drivers & A Portfolio's Common Causal Conditional Risk-neutral PDE;SSRN Electronic Journal;2024

3. Causal Factor Investing;2023-10-12

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