40 citations · 44 across the 5 of their papers we have counts for
5 papers
Integrating Different Informations for Portfolio Selection
Yi Huang, Wei Zhu, Duan Li +2
Following the idea of Bayesian learning via Gaussian mixture model, we organically combine the backward-looking information contained in the historical data and the forward-looking…
Effective Algorithms for Optimal Portfolio Deleveraging Problem with Cross Impact
Hezhi Luo, Yuanyuan Chen, Xianye Zhang +2
We investigate the optimal portfolio deleveraging (OPD) problem with permanent and temporary price impacts, where the objective is to maximize equity while meeting a prescribed deb…
Scenario-decomposition Solution Framework for Nonseparable Stochastic Control Problems
Xin Huang, Duan Li, Daniel Zhuoyu Long
When stochastic control problems do not possess separability and/or monotonicity, the dynamic programming pioneered by Bellman in 1950s fails to work as a time-decomposition soluti…
Revised Progressive-Hedging-Algorithm Based Two-layer Solution Scheme for Bayesian Reinforcement Learning
Xin Huang, Duan Li, Daniel Zhuoyu Long
Stochastic control with both inherent random system noise and lack of knowledge on system parameters constitutes the core and fundamental topic in reinforcement learning (RL), espe…
BERT-based Financial Sentiment Index and LSTM-based Stock Return Predictability
Joshua Zoen Git Hiew, Xin Huang, Hao Mou +3
Traditional sentiment construction in finance relies heavily on the dictionary-based approach, with a few exceptions using simple machine learning techniques such as Naive Bayes cl…