"Adaptive rolling window selection for minimum variance portfolio ..."

Bruno Gasperov et al. (2020)

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DOI: 10.23919/MIPRO48935.2020.9245435

access: closed

type: Conference or Workshop Paper

metadata version: 2024-08-04

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Bruno Gasperov, Fredi Saric, Stjepan Begusic, Zvonko Kostanjcar:
Adaptive rolling window selection for minimum variance portfolio estimation based on reinforcement learning. MIPRO 2020: 1098-1102

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