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Deep Learning for Portfolio Optimization
12 references·1 citing·49 second hop
Deep Learning for Portfolio Optimization (2020)Deep Learning for Portfolio OptimizationDeep Reinforcement Learning for Trading (2020)Deep Reinforcement Learning f…DeepLOB: Deep Convolutional Neural Networks for Limit Order Books (2019)DeepLOB: Deep Convolutional N…Using deep learning to detect price change indications in financial markets (2017)Using deep learning to detect…Time Series Momentum (2011)Time Series MomentumStochastic Portfolio Theory: an Overview (2009)Stochastic Portfolio Theory: …Toward Maximum Diversification (2008)Toward Maximum DiversificationDRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (2005)DRAWDOWN MEASURE IN PORTFOLIO…Stochastic Portfolio Theory (2002)Stochastic Portfolio TheoryLearning to trade via direct reinforcement (2001)Learning to trade via direct …Performance functions and reinforcement learning for trading systems and portfolios (1998)Performance functions and rei…The Sharpe Ratio (1994)The Sharpe RatioPerformance Measurement in a Downside Risk Framework (1994)Performance Measurement in a …End-to-end risk budgeting portfolio optimization with neural networks (2023)End-to-end risk budgeting por…Multidimensional Reflected Brownian Motions Having Exponential Stationary Distributions (1987)Dynamic Asset Pricing Theory. (1993)Atlas models of equity markets (2005)Brownian Motion and Stochastic Calculus (2007)Hybrid Atlas models (2011)Exposition of a New Theory on the Measurement of Risk (1954)Portfolio Selection: Efficient Diversification of Investments (1959)Mutual Fund Performance (1966)PAMR: Passive aggressive mean reversion strategy for portfolio selection (2012)Online portfolio selection (2014)An adaptive portfolio trading system: A risk-return portfolio optimization using recurrent reinforcement learning with expected maximum drawdown (2017)Modern Portfolio Theory and Investment Analysis. (1982)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Optimization Methods in Finance (2006)Risk-Based Asset Allocation: A New Answer to anOld Question? (2011)Properties of the most diversified portfolio (2013)Optimum consumption and portfolio rules in a continuous-time model (1971)Option pricing: A simplified approach (1979)A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem (2017)Cryptocurrency portfolio management with deep reinforcement learning (2017)Comparing Predictive Accuracy (1994)Does Algorithmic Trading Improve Liquidity? (2011)Deep learning with long short-term memory networks for financial market predictions (2017)A novel deep learning framework: Prediction and analysis of financial time series using CEEMD and LSTM (2020)A comprehensive survey on deep neural networks for stock market: The need, challenges, and future directions (2021)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Risk Aversion in the Small and in the Large (1976)A multi-agent deep reinforcement learning framework for algorithmic trading in financial markets (2022)Deep learning in the stock market—a systematic survey of practice, backtesting, and applications (2022)An Overview of Machine Learning, Deep Learning, and Reinforcement Learning-Based Techniques in Quantitative Finance: Recent Progress and Challenges (2023)PORTFOLIO SELECTION* (1952)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Higher moment coherent risk measures (2007)Spectral risk measures and portfolio selection (2008)Twenty years of linear programming based portfolio optimization (2013)Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: Heuristics and Biases (1975)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Does Academic Research Destroy Stock Return Predictability? (2015)A Brief History of Downside Risk Measures (1999)Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2008)Portfolio selection with higher moments (2010)
this work references cited by second hop

References

  • 1994The Sharpe Ratio2,542 cited
  • 2011Time Series Momentum1,470 cited
  • 1994Performance Measurement in a Downside Risk Framework899 cited
  • 2001Learning to trade via direct reinforcement548 cited
  • 2008Toward Maximum Diversification527 cited
  • 2005DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION349 cited
  • 1998Performance functions and reinforcement learning for trading systems and portfolios292 cited
  • 2019DeepLOB: Deep Convolutional Neural Networks for Limit Order Books288 cited
  • 2002Stochastic Portfolio Theory249 cited
  • 2020Deep Reinforcement Learning for Trading226 cited
  • 2009Stochastic Portfolio Theory: an Overview169 cited
  • 2017Using deep learning to detect price change indications in financial markets157 cited

Cited by

  • 2023End-to-end risk budgeting portfolio optimization with neural networks40 cited

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