Doubly elastic net regularized online portfolio optimization with transaction costs
Abstract Online portfolio optimization with transaction costs is a big challenge in large-scale intelligent computing community, since its undersample from rapidly-changing market and complexity from varying transaction costs. In this paper, we focus on this problem and solve it by machine learning...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Nature Portfolio
2023-11-01
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| Series: | Scientific Reports |
| Online Access: | https://doi.org/10.1038/s41598-023-46059-2 |