Andrew Papanicolaou, Hao Fu, Prashanth Krishnamurthy, Farshad Khorrami. A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization With MGARCH and Small Transaction Costs. IEEE Access, 11:16774-16792, 2023. [doi]
@article{PapanicolaouFKK23,
title = {A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization With MGARCH and Small Transaction Costs},
author = {Andrew Papanicolaou and Hao Fu and Prashanth Krishnamurthy and Farshad Khorrami},
year = {2023},
doi = {10.1109/ACCESS.2023.3245570},
url = {https://doi.org/10.1109/ACCESS.2023.3245570},
researchr = {https://researchr.org/publication/PapanicolaouFKK23},
cites = {0},
citedby = {0},
journal = {IEEE Access},
volume = {11},
pages = {16774-16792},
}