Sarah Perrin

University of Paris-Saclay - Ecole Polytechnique

55 Avenue de Paris

Versailles, 78000

France

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Machine Learning Optimization Algorithms & Portfolio Allocation

Number of pages: 66 Posted: 25 Jul 2019
Sarah Perrin and Thierry Roncalli
University of Paris-Saclay - Ecole Polytechnique and Amundi Asset Management
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Abstract:

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portfolio allocation, mean-variance optimization, risk budgeting optimization, quadratic programming, coordinate descent, alternating direction method of multipliers, proximal gradient method, Dykstra's algorithm