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Hyperparameter Optimization for Portfolio Selection

Peter Nystrup, Erik Lindström and Henrik Madsen
The Journal of Financial Data Science Summer 2020, 2 (3) 40-54; DOI: https://doi.org/10.3905/jfds.2020.1.035
Peter Nystrup
is a postdoctoral fellow in the Centre for Mathematical Sciences at Lund University in Lund, Sweden, and in the Department of Applied Mathematics and Computer Science at the Technical University of Denmark in Lyngby, Denmark
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Erik Lindström
is a professor and head of the Section for Mathematical Statistics in the Centre for Mathematical Sciences at Lund University in Lund, Sweden
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Henrik Madsen
is a professor and head of the Section for Dynamical Systems in the Department of Applied Mathematics and Computer Science at the Technical University of Denmark in Lyngby, Denmark
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The Journal of Financial Data Science: 2 (3)
The Journal of Financial Data Science
Vol. 2, Issue 3
Summer 2020
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Hyperparameter Optimization for Portfolio Selection
Peter Nystrup, Erik Lindström, Henrik Madsen
The Journal of Financial Data Science Jul 2020, 2 (3) 40-54; DOI: 10.3905/jfds.2020.1.035

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Hyperparameter Optimization for Portfolio Selection
Peter Nystrup, Erik Lindström, Henrik Madsen
The Journal of Financial Data Science Jul 2020, 2 (3) 40-54; DOI: 10.3905/jfds.2020.1.035
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  • Article
    • Abstract
    • HYPERPARAMETER OPTIMIZATION
    • MULTIOBJECTIVE OPTIMIZATION
    • MULTIOBJECTIVE COVARIANCE-MATRIX ADAPTATION EVOLUTION STRATEGY
    • SINGLE-PERIOD PORTFOLIO SELECTION
    • MULTIPERIOD PORTFOLIO SELECTION
    • CONCLUSION
    • ACKNOWLEDGMENTS
    • ADDITIONAL READING
    • ENDNOTES
    • REFERENCES
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