Multitrend Conditional Value at Risk for Portfolio Optimization

Trend representation has been attracting more and more attention recently in portfolio optimization (PO) via machine learning methods. It adopts concepts and phenomena from the field of empirical and behavioral finance when little prior knowledge is obtained or strict statistical assumptions cannot...

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Veröffentlicht in:	IEEE transaction on neural networks and learning systems 2024-02, Vol.35 (2), p.1545-1558
Hauptverfasser:	Lai, Zhao-Rong, Li, Cheng, Wu, Xiaotian, Guan, Quanlong, Fang, Liangda
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Conditional value at risk (CVaR) Estimation Information science interior point method Machine learning multiple trends Optimization portfolio optimization (PO) Portfolios Reactive power Risk management Task analysis
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