TPLVM: Portfolio Construction by Student’s <i>t</i>-Process Latent Variable Model
Optimal asset allocation is a key topic in modern finance theory. To realize the optimal asset allocation on investor’s risk aversion, various portfolio construction methods have been proposed. Recently, the applications of machine learning are rapidly growing in the area of finance. In th...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-03-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/8/3/449 |