Weight bound constraints in mean-variance models : a robust control theory foundation via machine learning
Year of publication: |
2024
|
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Authors: | Koumou, Gilles Boevi |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 24.2024, 6, p. 719-733
|
Subject: | Estimation errors | Machine learning | Mean-variance model | One-class classification | Robust control theory | Robust optimization | Support vector data description | Weight bound constraints | Robustes Verfahren | Robust statistics | Kontrolltheorie | Control theory | Künstliche Intelligenz | Artificial intelligence | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory |
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