Optimizing Investment Strategies with Lazy Factor and Probability Weighting: A Price Portfolio Forecasting and Mean-Variance Model with Transaction Costs Approach

Shuo Han, Yinan Chen, Jiacheng Liu. Optimizing Investment Strategies with Lazy Factor and Probability Weighting: A Price Portfolio Forecasting and Mean-Variance Model with Transaction Costs Approach. In IEEE International Conference on Systems, Man, and Cybernetics, SMC 2023, Honolulu, Oahu, HI, USA, October 1-4, 2023. pages 2232-2238, IEEE, 2023. [doi]

Abstract

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