Machine learning and portfolio optimization | London Business School

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Machine learning and portfolio optimization

Journal

Management Science

Subject

Management Science and Operations

Publishing details

Management Science 2018 Vol 64:3 p 1136-1154

Authors / Editors

Ban G-Y; El Karoui N; Lim A E B

Biographies

Publication Year

2018

Keywords

Machine learning;Portfolio optimization; Regularization; Risk measures; Robust optimization