A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization With MGARCH and Small Transaction Costs

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]

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