Open AccessTransaction Costs-Aware Portfolio Optimization via Fast Lowner-John Ellipsoid Approximation
Author(s) -
Weiwei Shen,
Jun Wang
Publication year - 2015
Publication title -
proceedings of the ... aaai conference on artificial intelligence
Language(s) - Uncategorized
Resource type - Journals
eISSN - 2374-3468
pISSN - 2159-5399
DOI - 10.1609/aaai.v29i1.9453
Subject(s) - ellipsoid , portfolio , mathematical optimization , curse of dimensionality , transaction cost , function (biology) , generalization , portfolio optimization , bellman equation , computer science , overconfidence effect , euclidean geometry , heuristics , mathematics , mathematical economics , economics , microeconomics , finance , artificial intelligence , psychology , mathematical analysis , social psychology , physics , geometry , astronomy , evolutionary biology , biology