{"id":"https://openalex.org/W2959051218","doi":"https://doi.org/10.1109/cifer.2019.8759056","title":"Deep Learning Algorithm to solve Portfolio Management with Proportional Transaction Cost","display_name":"Deep Learning Algorithm to solve Portfolio Management with Proportional Transaction Cost","publication_year":2019,"publication_date":"2019-05-01","ids":{"openalex":"https://openalex.org/W2959051218","doi":"https://doi.org/10.1109/cifer.2019.8759056","mag":"2959051218"},"language":"en","primary_location":{"id":"doi:10.1109/cifer.2019.8759056","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cifer.2019.8759056","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2019 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100446744","display_name":"Weiwei Zhang","orcid":"https://orcid.org/0000-0002-4304-6055"},"institutions":[{"id":"https://openalex.org/I165932596","display_name":"National University of Singapore","ror":"https://ror.org/01tgyzw49","country_code":"SG","type":"education","lineage":["https://openalex.org/I165932596"]}],"countries":["SG"],"is_corresponding":true,"raw_author_name":"Weiwei Zhang","raw_affiliation_strings":["Department of Mathematics, National University of Singapore(NUS), Singapore"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics, National University of Singapore(NUS), Singapore","institution_ids":["https://openalex.org/I165932596"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5000567490","display_name":"Chao Zhou","orcid":null},"institutions":[{"id":"https://openalex.org/I165932596","display_name":"National University of Singapore","ror":"https://ror.org/01tgyzw49","country_code":"SG","type":"education","lineage":["https://openalex.org/I165932596"]}],"countries":["SG"],"is_corresponding":false,"raw_author_name":"Chao Zhou","raw_affiliation_strings":["Department of Mathematics, National University of Singapore(NUS), Singapore"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics, National University of Singapore(NUS), Singapore","institution_ids":["https://openalex.org/I165932596"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5100446744"],"corresponding_institution_ids":["https://openalex.org/I165932596"],"apc_list":null,"apc_paid":null,"fwci":1.1134,"has_fulltext":false,"cited_by_count":6,"citation_normalized_percentile":{"value":0.7990538,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":96},"biblio":{"volume":null,"issue":null,"first_page":"1","last_page":"10"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9991000294685364,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9991000294685364,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9980999827384949,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9962999820709229,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6575319766998291},{"id":"https://openalex.org/keywords/deep-learning","display_name":"Deep learning","score":0.6091793179512024},{"id":"https://openalex.org/keywords/curse-of-dimensionality","display_name":"Curse of dimensionality","score":0.5786553621292114},{"id":"https://openalex.org/keywords/project-portfolio-management","display_name":"Project portfolio management","score":0.5387834310531616},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.5196124911308289},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5022811889648438},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.499098539352417},{"id":"https://openalex.org/keywords/feedforward-neural-network","display_name":"Feedforward neural network","score":0.4836198389530182},{"id":"https://openalex.org/keywords/artificial-neural-network","display_name":"Artificial neural network","score":0.4419197142124176},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.43944546580314636},{"id":"https://openalex.org/keywords/transaction-cost","display_name":"Transaction cost","score":0.4293863773345947},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.41455280780792236},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.21641850471496582},{"id":"https://openalex.org/keywords/project-management","display_name":"Project management","score":0.12819677591323853},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.10643613338470459},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.08704802393913269}],"concepts":[{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6575319766998291},{"id":"https://openalex.org/C108583219","wikidata":"https://www.wikidata.org/wiki/Q197536","display_name":"Deep learning","level":2,"score":0.6091793179512024},{"id":"https://openalex.org/C111030470","wikidata":"https://www.wikidata.org/wiki/Q1430460","display_name":"Curse of dimensionality","level":2,"score":0.5786553621292114},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.5387834310531616},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.5196124911308289},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5022811889648438},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.499098539352417},{"id":"https://openalex.org/C47702885","wikidata":"https://www.wikidata.org/wiki/Q5441227","display_name":"Feedforward neural network","level":3,"score":0.4836198389530182},{"id":"https://openalex.org/C50644808","wikidata":"https://www.wikidata.org/wiki/Q192776","display_name":"Artificial neural network","level":2,"score":0.4419197142124176},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.43944546580314636},{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.4293863773345947},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.41455280780792236},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.21641850471496582},{"id":"https://openalex.org/C15952604","wikidata":"https://www.wikidata.org/wiki/Q179012","display_name":"Project management","level":2,"score":0.12819677591323853},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.10643613338470459},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.08704802393913269},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/cifer.2019.8759056","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cifer.2019.8759056","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2019 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":36,"referenced_works":["https://openalex.org/W54257720","https://openalex.org/W1522301498","https://openalex.org/W1771410628","https://openalex.org/W1976352744","https://openalex.org/W1981768388","https://openalex.org/W1984697146","https://openalex.org/W1998473557","https://openalex.org/W2021355027","https://openalex.org/W2041823389","https://openalex.org/W2042506154","https://openalex.org/W2068745433","https://openalex.org/W2082211732","https://openalex.org/W2115185486","https://openalex.org/W2115580984","https://openalex.org/W2126373180","https://openalex.org/W2128759005","https://openalex.org/W2143612262","https://openalex.org/W2145339207","https://openalex.org/W2150341604","https://openalex.org/W2173248099","https://openalex.org/W2467127094","https://openalex.org/W2499621221","https://openalex.org/W2551937961","https://openalex.org/W2963864421","https://openalex.org/W2964121744","https://openalex.org/W2964139766","https://openalex.org/W3121153783","https://openalex.org/W3124656020","https://openalex.org/W3124944684","https://openalex.org/W4205947740","https://openalex.org/W4241627017","https://openalex.org/W4243130697","https://openalex.org/W6602211262","https://openalex.org/W6638018090","https://openalex.org/W6646459095","https://openalex.org/W6807091881"],"related_works":["https://openalex.org/W4296209631","https://openalex.org/W3097449145","https://openalex.org/W2561617217","https://openalex.org/W4294811468","https://openalex.org/W2355801475","https://openalex.org/W1536727859","https://openalex.org/W3124009333","https://openalex.org/W4206659427","https://openalex.org/W2170062176","https://openalex.org/W3149091143"],"abstract_inverted_index":{"Portfolio":[0],"selection":[1],"with":[2,37],"proportional":[3],"transaction":[4,30],"cost":[5,31],"is":[6,86],"a":[7,22,38,77],"singular":[8],"stochastic":[9],"control":[10],"problem":[11],"that":[12,88],"has":[13],"been":[14],"widely":[15],"discussed.":[16],"In":[17],"this":[18],"paper,":[19],"we":[20],"propose":[21],"deep":[23,89],"learning":[24,68,90],"based":[25],"numerical":[26,54],"scheme":[27],"to":[28,49,60,62,96],"solve":[29],"problems,":[32],"and":[33,100,103],"compare":[34],"its":[35],"effectiveness":[36],"penalty":[39],"partial":[40],"differential":[41],"equation":[42],"(PDE)":[43],"method.":[44],"We":[45],"further":[46],"extend":[47],"it":[48],"multi-asset":[50],"cases":[51],"which":[52],"existing":[53],"methods":[55],"can":[56,92],"not":[57],"be":[58],"applied":[59],"due":[61],"the":[63,72],"curse":[64],"of":[65],"dimensionality.":[66],"Deep":[67],"algorithm":[69],"directly":[70],"approximates":[71],"optimal":[73,98],"trading":[74],"strategies":[75],"by":[76],"feedforward":[78],"neural":[79],"network":[80],"at":[81],"each":[82],"discrete":[83],"time.":[84],"It":[85],"observed":[87],"approach":[91],"achieve":[93],"satisfying":[94],"performance":[95],"characterize":[97],"buy":[99],"sell":[101],"boundaries":[102],"thus":[104],"value":[105],"function.":[106]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2019,"cited_by_count":2}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}