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Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks


Jul 09, 2020
Edmond Lezmi, Jules Roche, Thierry Roncalli, Jiali Xu

* 72 pages, 30 figures 

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A Note on Portfolio Optimization with Quadratic Transaction Costs


Jan 06, 2020
Pierre Chen, Edmond Lezmi, Thierry Roncalli, Jiali Xu

* 18 pages, 5 figures 

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Machine Learning Optimization Algorithms & Portfolio Allocation


Sep 23, 2019
Sarah Perrin, Thierry Roncalli

* 66 pages, 6 figures 

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Financial Applications of Gaussian Processes and Bayesian Optimization


Mar 12, 2019
Joan Gonzalvez, Edmond Lezmi, Thierry Roncalli, Jiali Xu

* 42 pages, 20 figures 

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