均值-方差模型中的权重约束：通过机器学习的鲁棒控制理论基础

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2024-07-02 DOI:10.1080/14697688.2024.2358954

Gilles Boevi Koumou

引用次数: 0

摘要

马科维茨（《投资组合选择》，《金融杂志》，1952 年，7 期，77-91）的均值-方差模型采用创新的权重约束表示法，利用支持向量数据描述来开发。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Weight bound constraints in mean-variance models: a robust control theory foundation via machine learning

Using an innovative representation of the weight bound constrained Markowitz's (Portfolio selection. J. Finance, 1952, 7, 77–91) mean-variance model, developed using the support vector data descrip...

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.