Dynamic Portfolio Choice with Transaction Costs using Machine Learning
A new computational framework is introduced for solving dynamic portfolio choice problems, using Gaussian process regression and Bayesian active learning, suggesting that more assets can mitigate some illiquidity.
Featured in No. 27 on 29 Nov 2023 ·
- Released
- 18 Aug 2023
- First featured
- No. 27 · 29 Nov 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4642269
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