Machine Learning and Portfolio Optimization-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Machine Learning and Portfolio Optimization

Published:2018-03 Issue:3 Volume:64 Page:1136-1154
ISSN:0025-1909
Container-title:Management Science
language:en
Short-container-title:Management Science

Author:

Ban Gah-Yi¹,El Karoui Noureddine²,Lim Andrew E. B.³

Affiliation:

1. Management Science and Operations, London Business School, London NW1 4SA, United Kingdom

2. Department of Statistics, University of California, Berkeley, Berkeley, California 94720

3. Department of Decision Sciences and Department of Finance, National University of Singapore Business School, Singapore 119245

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Strategy and Management

Link

https://pubsonline.informs.org/doi/pdf/10.1287/mnsc.2016.2644

Reference46 articles.

1. Expected Shortfall: A Natural Coherent Alternative to Value at Risk

2. NP-hardness of deciding convexity of quartic polynomials and related problems

3. Ban G-Y, Chen CJ (2016) Portfolio optimization in high dimensions: Aggregate then optimize. Working paper, London Business School, London.

4. Least squares after model selection in high-dimensional sparse models

5. Robust Optimization

Cited by 177 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. Sparse portfolio optimization via ℓ1 over ℓ2 regularization;European Journal of Operational Research;2024-12

2. A three-level nested portfolio optimization model with position allocation;Applied Soft Computing;2024-11

3. Trading strategies and Financial Performances: A simulation approach;International Review of Financial Analysis;2024-10

4. A neural network framework for portfolio optimization under second-order stochastic dominance;Finance Research Letters;2024-08

5. Using AI-Driven Decision-Making Tools in Corporate Investment Planning;Advances in Logistics, Operations, and Management Science;2024-07-26

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3