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Sep, 2023
学习有效前沿
Learning the Efficient Frontier
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Philippe Chatigny, Ivan Sergienko, Ryan Ferguson, Jordan Weir, Maxime Bergeron
TL;DR
本文介绍了NeuralEF：一种快速的神经逼近框架，可以可靠地预测具有异构线性约束和可变数量优化输入的有效前沿凸优化问题的结果，并将优化问题重新制定为序列到序列问题，从而加速大规模模拟并处理不连续行为。
Abstract
The
efficient frontier
(EF) is a fundamental resource allocation problem where one has to find an optimal portfolio maximizing a reward at a given level of risk. This optimal solution is traditionally found by solving a
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