Portfolio Optimization (PortOpt)

Portfolio Optimization (PortOpt) #

Portfolio Optimization is about selecting and managing assets to achieve financial goals. Machine learning is increasingly being applied to improve portfolio management strategies.

Recent Literature #

1. ⭐LinSATNet: The Positive Linear Satisfiability Neural Networks ICML, 2023. paper, code

   Runzhong Wang and Yunhao Zhang and Ziao Guo and Tianyi Chen and Xiaokang Yang and Junchi Yan

2. Integrating prediction in mean-variance portfolio optimization Quantitative Finance, 2023. paper

   Butler, Andrew and Kwon, Roy H

3. ⭐Towards One-shot Neural Combinatorial Solvers: Theoretical and Empirical Notes on the Cardinality-Constrained Case ICLR, 2023. paper, code

   Wang, Runzhong and Shen, Li and Chen, Yiting and Yan, Junchi and Yang, Xiaokang and Tao, Dacheng