Modern Probabilistic Machine Learning and Control Methods for Portfolio Optimization
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 박주영 | - |
dc.contributor.author | 임정동 | - |
dc.contributor.author | 이원부 | - |
dc.contributor.author | 지성현 | - |
dc.contributor.author | 성기훈 | - |
dc.contributor.author | 박경욱 | - |
dc.date.accessioned | 2021-09-05T13:27:25Z | - |
dc.date.available | 2021-09-05T13:27:25Z | - |
dc.date.created | 2021-06-17 | - |
dc.date.issued | 2014 | - |
dc.identifier.issn | 1598-2645 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/99999 | - |
dc.description.abstract | Many recent theoretical developments in the field of machine learning and control have rapidlyexpanded its relevance to a wide variety of applications. In particular, a variety of portfoliooptimization problems have recently been considered as a promising application domain formachine learning and control methods. In highly uncertain and stochastic environments,portfolio optimization can be formulated as optimal decision-making problems, and for thesetypes of problems, approaches based on probabilistic machine learning and control methodsare particularly pertinent. In this paper, we consider probabilistic machine learning and controlbased solutions to a couple of portfolio optimization problems. Simulation results show thatthese solutions work well when applied to real financial market data. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | 한국지능시스템학회 | - |
dc.title | Modern Probabilistic Machine Learning and Control Methods for Portfolio Optimization | - |
dc.title.alternative | Modern Probabilistic Machine Learning and Control Methods for Portfolio Optimization | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | 박주영 | - |
dc.contributor.affiliatedAuthor | 박경욱 | - |
dc.identifier.bibliographicCitation | International Journal of Fuzzy Logic and Intelligent systems, v.14, no.2, pp.73 - 83 | - |
dc.relation.isPartOf | International Journal of Fuzzy Logic and Intelligent systems | - |
dc.citation.title | International Journal of Fuzzy Logic and Intelligent systems | - |
dc.citation.volume | 14 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 73 | - |
dc.citation.endPage | 83 | - |
dc.type.rims | ART | - |
dc.identifier.kciid | ART001895364 | - |
dc.description.journalClass | 2 | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | Machine learning | - |
dc.subject.keywordAuthor | Portfolio optimization | - |
dc.subject.keywordAuthor | Evolution strategy | - |
dc.subject.keywordAuthor | Value function | - |
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