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Doubly elastic net regularized online portfolio optimization with transaction costs

Online portfolio optimization with transaction costs is a big challenge in large-scale intelligent computing community, since its undersample from rapidly-changing market and complexity from varying transaction costs. In this paper, we focus on this problem and solve it by machine learning system. S...

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Detalles Bibliográficos
Autores principales: Yao, Xiaoting, Zhang, Na
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Nature Publishing Group UK 2023
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10622546/
https://www.ncbi.nlm.nih.gov/pubmed/37919458
http://dx.doi.org/10.1038/s41598-023-46059-2