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- W2058018841 abstract "This paper studies a nonlinear control policy for multi-period investment. The nonlinear strategy we implement is categorized as a kernel method, but solving large-scale instances of the resulting optimization problem in a direct manner is computationally intractable in the literature. In order to overcome this difficulty, we employ a dimensionality reduction technique which is often used in principal component analysis. Numerical experiments show that our strategy works not only to reduce the computation time, but also to improve out-of-sample investment performance." @default.
- W2058018841 created "2016-06-24" @default.
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- W2058018841 date "2014-06-01" @default.
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- W2058018841 title "Multi-period portfolio selection using kernel-based control policy with dimensionality reduction" @default.
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- W2058018841 doi "https://doi.org/10.1016/j.eswa.2013.11.043" @default.
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