Factor learning portfolio optimization informed by continuous-time finance models
Files
First author draft
Date
2023-07-28
DOI
Authors
Geng, Sinong
Nassif, Houssam
Kuang, Zhaobin
Reppen, Anders
Sircar, Ronnie
Version
First author draft
OA Version
Citation
S. Geng, H. Nassif, Z. Kuang, A. Reppen, R. Sircar. "Factor Learning Portfolio Optimization Informed by Continuous-Time Finance Models" ICML Workshop on New Frontiers in Learning, Control, and Dynamical Systems.