Name
Title | ||
|---|---|---|
Multi-period portfolio selection using kernel-based control policy with dimensionality reduction |
Abstract | ||
|---|---|---|
This paper studies a nonlinear control policy for multi-period investment. The nonlinear strategy we implement is categorized as a kernel method, but solving large-scale instances of the resulting optimization problem in a direct manner is computationally intractable in the literature. In order to overcome this difficulty, we employ a dimensionality reduction technique which is often used in principal component analysis. Numerical experiments show that our strategy works not only to reduce the computation time, but also to improve out-of-sample investment performance. |
Year | DOI | Venue |
|---|---|---|
2014 | 10.1016/j.eswa.2013.11.043 | Expert Syst. Appl. |
Keywords | Field | DocType |
large-scale instance,nonlinear control policy,numerical experiment,direct manner,dimensionality reduction technique,computation time,multi-period portfolio selection,out-of-sample investment performance,kernel-based control policy,kernel method,multi-period investment,nonlinear strategy,dimensionality reduction | Investment performance,Kernel (linear algebra),Mathematical optimization,Dimensionality reduction,Computer science,Nonlinear control,Portfolio,Artificial intelligence,Kernel method,Optimization problem,Machine learning,Principal component analysis | Journal |
Volume | Issue | ISSN |
41 | 8 | 0957-4174 |
Citations | PageRank | References |
1 | 0.35 | 11 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Yuichi Takano | 1 | 57 | 3.96 |
| Jun-Ya Gotoh | 2 | 117 | 10.17 |