paper:deep_portfolio_theory
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paper:deep_portfolio_theory [2019/09/09 15:45] – kk | paper:deep_portfolio_theory [2023/11/10 12:13] (当前版本) – 外部编辑 127.0.0.1 | ||
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====== Deep Portfolio Theory ====== | ====== Deep Portfolio Theory ====== | ||
+ | 对本文的总体评价为:(1-5分,5分最高) | ||
+ | |||
+ | 可参考以下标准: | ||
+ | |||
+ | * 5分:佳作、开创性成果 | ||
+ | * 4分:合格的优秀论文、可直接接收发表 | ||
+ | * 3分:小改(Minor)后可接收 | ||
+ | * 2分:需要大改(Major) | ||
+ | * 1分:价值有限,即使修改后亦不能发表 | ||
+ | * 0分:本wiki不收录0分的论文。。。 | ||
+ | |||
+ | **有必要时,可以在文中任何地方插入你的签名。** | ||
+ | ===== 文献基本信息 ===== | ||
+ | |||
+ | ==== 标题 ==== | ||
+ | Deep Portfolio Theory | ||
+ | |||
+ | ==== 作者 ==== | ||
+ | - J. B. Heaton, Conjecture LLC, jb@conjecturellc.com | ||
+ | - N. G. Polson, Booth School of Business, University of Chicago, ngp@chicagobooth.edu | ||
+ | - J. H. Witte, Department of Mathematics, | ||
+ | |||
+ | |||
+ | ==== 出版年份 ==== | ||
+ | 2016 | ||
+ | |||
+ | ==== 来源 ==== | ||
+ | Arxiv | ||
+ | |||
+ | ==== 关键词 ==== | ||
+ | Deep Learning, Artificial Intelligence, | ||
+ | |||
+ | ==== 摘要 ==== | ||
+ | |||
+ | We construct a deep portfolio theory. By building on Markowitz’s classic risk-return | ||
+ | trade-off, we develop a self-contained four-step routine of encode, calibrate, validate | ||
+ | and verify to formulate an automated and general portfolio selection process. At the | ||
+ | heart of our algorithm are deep hierarchical compositions of portfolios constructed | ||
+ | in the encoding step. The calibration step then provides multivariate payouts in the | ||
+ | form of deep hierarchical portfolios that are designed to target a variety of objective | ||
+ | functions. The validate step trades-off the amount of regularization used in the | ||
+ | encode and calibrate steps. The verification step uses a cross validation approach to | ||
+ | trace out an ex post deep portfolio efficient frontier. We demonstrate all four steps of | ||
+ | our portfolio theory numerically | ||
+ | |||
+ | |||
+ | ==== 引用方式 ==== | ||
Heaton, J. B., Nicholas G. Polson, and J. H. Witte. "Deep portfolio theory." | Heaton, J. B., Nicholas G. Polson, and J. H. Witte. "Deep portfolio theory." | ||
- | https:// | + | |
+ | |||
+ | ==== 链接 ==== | ||
+ | - https:// | ||
+ | - https:// | ||
+ | |||
+ | |||
+ | ===== 评阅意见 ===== | ||
+ | |||
+ | ==== 文献简介 ==== | ||
+ | |||
+ | 1. 论文是关于什么的?[请提供该论文的简要摘要。] | ||
+ | |||
+ | |||
+ | |||
+ | |||
+ | ==== 文献评价 ==== | ||
+ | |||
+ | |||
+ | 2. 这篇论文的长处和短处是什么?[请以以下角度评述:(a)创新(研究问题、建模、方法等);(b)相关性(研究问题、发现等);(c)严谨性(适当的方法、分析的正确性等)] | ||
+ | |||
+ | === 创新性 === | ||
+ | 研究问题、建模、方法等 | ||
+ | |||
+ | === 相关性 === | ||
+ | 研究问题、发现 | ||
+ | |||
+ | === 严谨性 === | ||
+ | 适当的方法、分析的正确性等 | ||
+ | ==== 需改改进之处 ==== | ||
+ | |||
+ | 3.如果有的话,潜在改进的主要地方是什么?[如果这些关键要求和建议能够被适当处理,请重点关注能使文章发表的关键要求和建议。如果你看到不可逾越的障碍,请清楚地描述你的担忧。如果能为编辑和作者提供具体有建设性的意见最好不过了,并在可能的情况下,提出可行的建议。同样,应避免含糊不清和/ | ||
+ | |||
+ | |||
+ | |||
+ | ==== 需要小改的地方 ==== | ||
+ | |||
+ | 4.如果有的话,潜在改进的微小地方是什么?[再次,请具体说明。] | ||
+ | |||
+ | |||
+ | ==== 进一步研究的可能与方向 ==== | ||
+ | |||
+ | 5.有没有机会做一项新的研究? | ||
+ | |||
+ | ==== 其他评价 ==== | ||
+ |
paper/deep_portfolio_theory.1568015108.txt.gz · 最后更改: 2023/11/10 12:12 (外部编辑)