Hyperparameter Optimization for Portfolio Selection

Peter Nystrup; Erik Lindström; Henrik Madsen

doi:10.3905/jfds.2020.1.035

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

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Hyperparameter Optimization for Portfolio Selection