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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,695 papers · 148 categories

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0111 · Jan 202319922001200920172026
1 result for “MGARCH”
A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization with MGARCH and Small Transaction Costsq-fin.CP

Deep neural network solves portfolio optimization with MGARCH and small transaction costs.

problem Optimizing portfolios with MGARCH and small transaction costs.
method Fixed-point RL algorithm using neural networks.
result NN algorithm shows positive testing performance.
portfolio optimizationMGARCHreinforcement learningdeep learningsmall transaction costs
2023-01-25abs ↗pdf ↗