15 citations · 66 across the 32 of their papers we have counts for
5 papers · 1 filter
Machine Learning for Socially Responsible Portfolio Optimisation
Taeisha Nundlall, Terence L Van Zyl
Socially responsible investors build investment portfolios intending to incite social and environmental advancement alongside a financial return. Although Mean-Variance (MV) models…
Fusion of Sentiment and Asset Price Predictions for Portfolio Optimization
Mufhumudzi Muthivhi, Terence L. van Zyl
The fusion of public sentiment data in the form of text with stock price prediction is a topic of increasing interest within the financial community. However, the research literatu…
Deep Reinforcement Learning and Convex Mean-Variance Optimisation for Portfolio Management
Ruan Pretorius, Terence van Zyl
Traditional portfolio management methods can incorporate specific investor preferences but rely on accurate forecasts of asset returns and covariances. Reinforcement learning (RL)…
The efficient frontiers of mean-variance portfolio rules under distribution misspecification
Andrew Paskaramoorthy, Tim Gebbie, Terence van Zyl
Mean-variance portfolio decisions that combine prediction and optimisation have been shown to have poor empirical performance. Here, we consider the performance of various shrinkag…
A Framework for Online Investment Algorithms
Andrew Paskaramoorthy, Terence van Zyl, Tim Gebbie
The artificial segmentation of an investment management process into a workflow with silos of offline human operators can restrict silos from collectively and adaptively pursuing a…