Faculty of Science, Technology and Medicine
Faculty of Law, Economics and Finance
Faculty of Humanities, Education and Social Sciences
Interdisciplinary Centre for Security, Reliability and Trust
Luxembourg Centre for Systems Biomedicine
Luxembourg Centre for Contemporary and Digital History
Luxembourg Centre for European Law
Luxembourg Centre for Socio-Environmental Systems
“A Comprehensive Machine Learning Framework for Dynamic Portfolio Choice With Transaction Costs”
With the Lunch Seminar series, the Department of Finance is bringing eminent and up-and-coming researchers from around the world to Luxembourg.
Abstract
We introduce a comprehensive computational framework for solving dynamic portfolio choice problems with many risky assets, transaction costs, and borrowing and short-selling constraints. Our approach leverages the synergy between Gaussian process regression and Bayesian active learning to efficiently approximate value and policy functions with a novel, formal way of characterizing the irregularly-shaped no-trade region; we then embed this into a discrete-time dynamic programming algorithm. This combination allows us to study dynamic portfolio choice problems with more risky assets than was previously possible. Our results indicate that giving the agent access to more assets may alleviate some illiquidity resulting from the presence of transaction costs.
About the speaker
Fabio Trojani is a Professor of Finance at the University of Geneva and a Senior Chair at the Swiss Finance Institute.
Language
English.
This is a free event. Registration is mandatory.
Cold lunches are provided to registered participants only.