Showing cs.CEShow all
2 papers · 1 filter
cs.CE2021
AMA-K: Aggressive Multi-Temporal Allocation An Algorithm for Aggressive Online Portfolio Selection
Matthew Kruger, Terence L. van Zyl, Andrew Paskaramoorthy
Online portfolio selection is an integral componentof wealth management. The fundamental undertaking is tomaximise returns while minimising risk given investor con-straints. We aim…
cs.CE2021
ParDen: Surrogate Assisted Hyper-Parameter Optimisation for Portfolio Selection
Terence van Zyl, Matthew Woolway, Andrew Paskaramoorthy
Portfolio optimisation is a multi-objective optimisation problem (MOP), where an investor aims to optimise the conflicting criteria of maximising a portfolio's expected return whil…