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We propose a universal end-to-end framework for portfolio optimization where asset distributions are directly obtained.
Portfolio selection
Harry Markowitz · 1952
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An algorithm for quadratic programming
Marguerite Frank, Philip Wolfe, et al · 1956
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The simplex method for quadratic programming
Philip Wolfe · 1959
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Branch-and-bound methods: A survey
Eugene L Lawler and David E Wood · 1966
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Bayes-stein estimation for portfolio analysis
Philippe Jorion · 1986
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The markowitz optimization enigma: Is ‘optimized’optimal?
Richard O Michaud · 1989
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Stock price prediction using neural networks: A project report
Eberhard Schöneburg · 1990
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Genetic algorithms
John H Holland · 1992
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The sharpe ratio
William F Sharpe · 1994
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Heuristics for cardinality constrained portfolio optimisation
T-J Chang, Nigel Meade, John E Beasley, and Yazid M Sharaiha · 2000
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Comparing asset pricing models: An investment perspective
L’uboš Pástor and Robert F Stambaugh · 2000
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Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
Olivier Ledoit and Michael Wolf · 2003
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Minimizing the sum of the k largest functions in linear time
Wlodzimierz Ogryczak and Arie Tamir · 2003
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Honey, I shrunk the sample covariance matrix
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Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
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Mean–variance portfolio optimization when means and covariances are unknown
Tze Leung Lai, Haipeng Xing, and Zehao Chen · 2011
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When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators
Ester Pantaleo, Michele Tumminello, Fabrizio Lillo, and Rosario N Mantegna · 2011
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Deep learning with long short-term memory networks for financial market predictions
Thomas Fischer and Christopher Krauss · 2018
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Stochastic optimization of sorting networks via continuous relaxations
Aditya Grover, Eric Wang, Aaron Zweig, and Stefano Ermon · 2018
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Reinforcement learning: An introduction
Richard S Sutton and Andrew G Barto · 2018
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The maximum diversification investment strategy: A portfolio performance comparison
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Differentiable ranking and sorting using optimal transport
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Enhancing time-series momentum strategies using deep neural networks
Bryan Lim, Stefan Zohren, and Stephen Roberts · 2019
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Optimal cardinality constrained portfolio selection
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Deep learning for portfolio optimization
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Integrating prediction in mean-variance portfolio optimization
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https://wrds-www.wharton.upenn.edu/ , Accessed: 2021-09-09
Wharton Research Data Services · 2021
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