Multi-period portfolio selection using kernel-based control policy with dimensionality reduction

作者：

Highlights：

• Kernel method is employed for multi-period portfolio selection.

• A dimensionality reduction technique is adopted to efficiently solve the problem.

• Numerical experiments show that our method reduces the computation time.

• Numerical experiments show that our method also improves investment performance.

摘要

•Kernel method is employed for multi-period portfolio selection.•A dimensionality reduction technique is adopted to efficiently solve the problem.•Numerical experiments show that our method reduces the computation time.•Numerical experiments show that our method also improves investment performance.

论文关键词：Multi-period portfolio selection,Kernel method,Control policy,Dimensionality reduction

论文评审过程：Available online 11 December 2013.

论文官网地址：https://doi.org/10.1016/j.eswa.2013.11.043