4 citations · 8 across the 9 of their papers we have counts for
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q-fin.CP2023★ 4 cited
A parsimonious neural network approach to solve portfolio optimization problems without using dynamic programming
Pieter M. van Staden, Peter A. Forsyth, Yuying Li
We present a parsimonious neural network approach, which does not rely on dynamic programming techniques, to solve dynamic portfolio optimization problems subject to multiple inves…
q-fin.CP2020
Optimal Asset Allocation For Outperforming A Stochastic Benchmark Target
Chendi Ni, Yuying Li, Peter Forsyth +1
We propose a data-driven Neural Network (NN) optimization framework to determine the optimal multi-period dynamic asset allocation strategy for outperforming a general stochastic t…