Dealing with transaction costs in portfolio optimization: online gradient descent with momentum - researchr publication authors

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Edoardo Vittori, Martino Bernasconi de Luca, Francesco Trovò, Marcello Restelli. Dealing with transaction costs in portfolio optimization: online gradient descent with momentum. In Tucker Balch, editor, ICAIF '20: The First ACM International Conference on AI in Finance, New York, NY, USA, October 15-16, 2020. ACM, 2020. [doi]

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