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q-fin.PM2020
Discrete-time portfolio optimization under maximum drawdown constraint with partial information and deep learning resolution
Carmine De Franco, Johann Nicolle, Huyên Pham
We study a discrete-time portfolio selection problem with partial information and maxi\-mum drawdown constraint. Drift uncertainty in the multidimensional framework is modeled by a…
q-fin.PM2018
Bayesian learning for the Markowitz portfolio selection problem
Carmine De Franco, Johann Nicolle, Huyên Pham
We study the Markowitz portfolio selection problem with unknown drift vector in the multidimensional framework. The prior belief on the uncertain expected rate of return is modeled…