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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국지능시스템학회 INTERNATIONAL JOURNAL of FUZZY LOGIC and INTELLIGENT SYSTEMS INTERNATIONAL JOURNAL of FUZZY LOGIC and INTELLIGENT SYSTEMS Vol.14 No.2
- 발행연도
- 2014.6
- 수록면
- 73 - 83 (11page)
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초록· 키워드
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Many recent theoretical developments in the field of machine learning and control have rapidly expanded its relevance to a wide variety of applications. In particular, a variety of portfolio optimization problems have recently been considered as a promising application domain for machine learning and control methods. In highly uncertain and stochastic environments, portfolio optimization can be formulated as optimal decision-making problems, and for these types of problems, approaches based on probabilistic machine learning and control methods are particularly pertinent. In this paper, we consider probabilistic machine learning and control based solutions to a couple of portfolio optimization problems. Simulation results show that these solutions work well when applied to real financial market data.
목차
Abstract
1. Introduction
2. Modern Probabilistic Machine Learning and Control Methods
3. Machine Learning and Control Based Portfolio Optimization
4. Conclusion
References
참고문헌 (33)
참고문헌 신청
1. [학술지(정기간행물)] - S. Boyd / 2014 / Performance bounds and suboptimal policies for multiperiod investment / Foundations and Trends in Optimization 1 (1) : 1 ~ 72
2. [학술대회논문] - J. A. Primbs / 2007 / Portfolio optimization applications of stochastic receding horizon control / Proceeding of the 2007 American Control Conference : 1811 ~ 1816
3. [학술지(정기간행물)] - G. C. Calafiore / 2008 / Multi-period portfolio optimization with linear control policies / Automatica 44 (10) : 2463 ~ 2473
4. [학위논문] - S. Alenmyr / 2010 / Model Predictive Control for Stock Portfolio Selection / M.S. / Lund University
5. [학술대회논문] - B. R. Barmish / 2011 / On performance limits of feedback controlbased stock trading strategies / Proceedings of 2011American Control Conference : 3874 ~ 3879
2. [학술대회논문] - J. A. Primbs / 2007 / Portfolio optimization applications of stochastic receding horizon control / Proceeding of the 2007 American Control Conference : 1811 ~ 1816
3. [학술지(정기간행물)] - G. C. Calafiore / 2008 / Multi-period portfolio optimization with linear control policies / Automatica 44 (10) : 2463 ~ 2473
4. [학위논문] - S. Alenmyr / 2010 / Model Predictive Control for Stock Portfolio Selection / M.S. / Lund University
5. [학술대회논문] - B. R. Barmish / 2011 / On performance limits of feedback controlbased stock trading strategies / Proceedings of 2011American Control Conference : 3874 ~ 3879
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