Bruno Gasperov, Fredi Saric, Stjepan Begusic, Zvonko Kostanjcar. Adaptive rolling window selection for minimum variance portfolio estimation based on reinforcement learning. In Marko Koricic, Karolj Skala, Zeljka Car, Marina Cicin-Sain, Vlado Sruk, Dejan Skvorc, Slobodan Ribaric, Bojan Jerbic, Stjepan Gros, Boris Vrdoljak, Mladen Mauher, Edvard Tijan, Tihomir Katulic, Predrag Pale, Tihana Galinac Grbac, Nikola Filip Fijan, Adrian Boukalov, Dragan Cisic, Vera Gradisnik, editors, 43rd International Convention on Information, Communication and Electronic Technology, MIPRO 2020, Opatija, Croatia, September 28 - October 2, 2020. pages 1098-1102, IEEE, 2020. [doi]
@inproceedings{GasperovSBK20,
title = {Adaptive rolling window selection for minimum variance portfolio estimation based on reinforcement learning},
author = {Bruno Gasperov and Fredi Saric and Stjepan Begusic and Zvonko Kostanjcar},
year = {2020},
doi = {10.23919/MIPRO48935.2020.9245435},
url = {https://doi.org/10.23919/MIPRO48935.2020.9245435},
researchr = {https://researchr.org/publication/GasperovSBK20},
cites = {0},
citedby = {0},
pages = {1098-1102},
booktitle = {43rd International Convention on Information, Communication and Electronic Technology, MIPRO 2020, Opatija, Croatia, September 28 - October 2, 2020},
editor = {Marko Koricic and Karolj Skala and Zeljka Car and Marina Cicin-Sain and Vlado Sruk and Dejan Skvorc and Slobodan Ribaric and Bojan Jerbic and Stjepan Gros and Boris Vrdoljak and Mladen Mauher and Edvard Tijan and Tihomir Katulic and Predrag Pale and Tihana Galinac Grbac and Nikola Filip Fijan and Adrian Boukalov and Dragan Cisic and Vera Gradisnik},
publisher = {IEEE},
isbn = {978-953-233-099-1},
}