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Portfolio Optimization

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Portfolio management is the task of obtaining higher excess returns through the flexible allocation of asset weights. In reality, common examples are stock selection and the Enhanced Index Fund (EIF). The general solution of portfolio management is to score the potential of assets, buy assets with upside potential and increase their weighting, and sell assets that are likely to fall or are relatively weak. A large number of strategies have been proposed for portfolio management.

코드

관련 논문과 평가 결과에 연결된 구현입니다. 출처에서 확인된 저자 구현에는 공식 코드 표시가 있습니다.

https://github.com/Alessiobrini/Deep-Reinforcement-Trading-with-Predictable-Returns

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Deep Reinforcement Trading with Predictable Returns

https://github.com/CFMTech/Deep-RL-for-Portfolio-Optimization

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Deep Deterministic Portfolio Optimization

https://github.com/NymishaBandi/constrained-batch-policy-learning

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Off-Policy Optimization of Portfolio Allocation Policies under Constraints

https://github.com/PanBikang/PromptFolio

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Federated Learning from Vision-Language Foundation Models: Theoretical Analysis and Method

https://github.com/PredOptwithSoftConstraint/PredOptwithSoftConstraint

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A Surrogate Objective Framework for Prediction+Optimization with Soft Constraints

https://github.com/Y1fanHE/po_with_moead-levy

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Solving Portfolio Optimization Problems Using MOEA/D and Levy Flight

https://github.com/ZhengyaoJiang/PGPortfolio

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A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem

https://github.com/akagrecha/constrained_regret_minimization

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Constrained regret minimization for multi-criterion multi-armed bandits

https://github.com/bstellato/mlopt

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Online Mixed-Integer Optimization in Milliseconds

https://github.com/cassiebuhler/pods

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Efficient Solution of Portfolio Optimization Problems via Dimension Reduction and Sparsification

https://github.com/chengjunyan1/aapm

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Empirical Asset Pricing with Large Language Model Agents

https://github.com/chrisyeh96/e2e-conformal

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End-to-End Conformal Calibration for Optimization Under Uncertainty

https://github.com/cvxgrp/cov_pred_finance

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A Simple Method for Predicting Covariance Matrices of Financial Returns

https://github.com/davidvwijk/econcbf

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Stochastic Control Barrier Functions for Economics

https://github.com/dongyounglim/etheopoula

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Langevin dynamics based algorithm e-TH$\varepsilon$O POULA for stochastic optimization problems with discontinuous stochastic gradient

https://github.com/dppalomar/highOrderPortfolios

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Efficient and Scalable Parametric High-Order Portfolios Design via the Skew-t Distribution

https://github.com/facebookresearch/taskmet

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TaskMet: Task-Driven Metric Learning for Model Learning

https://github.com/frankhan91/RNN-ControlwithDelay

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Recurrent Neural Networks for Stochastic Control Problems with Delay

https://github.com/gfonseca92/bandits-lib

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Improving Portfolio Optimization Results with Bandit Networks

https://github.com/guaguakai/surrogate-optimization-learning

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Automatically Learning Compact Quality-aware Surrogates for Optimization Problems

https://github.com/iyengar-lab/e2e-dro

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Distributionally Robust End-to-End Portfolio Construction

https://github.com/juliansester/robust-portfolio-optimization

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Markov Decision Processes under Model Uncertainty

https://github.com/junhua/awesome-finance-ai-papers

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A Survey of Financial AI: Architectures, Advances and Open Challenges

https://github.com/leoiv/bounce

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Bounce: Reliable High-Dimensional Bayesian Optimization for Combinatorial and Mixed Spaces

https://github.com/linyizun2024/ASMCVaR

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Autonomous Sparse Mean-CVaR Portfolio Optimization

https://github.com/luchungi/generative-model-signature-mmd

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Generative model for financial time series trained with MMD using a signature kernel

https://github.com/maxnaeg/zxreinforce

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Tackling Decision Processes with Non-Cumulative Objectives using Reinforcement Learning

https://github.com/microsoft/qlib

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Qlib: An AI-oriented Quantitative Investment Platform

https://github.com/mpokojovy/StochVolPortfolioML

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Portfolio Optimization with Feedback Strategies Based on Artificial Neural Networks

https://github.com/niklasdbs/paspo

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Autoregressive Policy Optimization for Constrained Allocation Tasks

https://github.com/parsaalian/rps

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RPS: Portfolio Asset Selection using Graph based Representation Learning

https://github.com/paulgrigas/smartpredictthenoptimize

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Smart "Predict, then Optimize"

https://github.com/qcappart/hybrid-cp-rl-solver

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Combining Reinforcement Learning and Constraint Programming for Combinatorial Optimization

https://github.com/rian-dolphin/stock-embeddings

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Contrastive Learning of Asset Embeddings from Financial Time Series

https://github.com/richardluger/covregmt

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Regularizing stock return covariance matrices via multiple testing of correlations

https://github.com/rushikeshnakhate/PyPortfolioOpt

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Portfolio Optimization

출처: Papers with Code · CC BY-SA 4.0. 아카이브 자료와 새로 수집한 논문은 별도로 관리합니다.