Professor John Mulvey

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Professor John Mulvey

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  3. Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network

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Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network

Author
John Mulvey, Yifan Sun, Mengdi Wang, Jing Ye
Publication Year
2020

Type

Journal Article
Journal
Quantitative Finance
Volume
20
Pages
1239–1261
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Operations Research & Financial Engineering
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