TPE-AS improves Bayesian optimization for black-box portfolio models by using a weighted Lagrangian estimator with adaptive scheduling and importance sampling to balance performance maximization and variance minimization.
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Improving Bayesian Optimization for Portfolio Management with an Adaptive Scheduling
TPE-AS improves Bayesian optimization for black-box portfolio models by using a weighted Lagrangian estimator with adaptive scheduling and importance sampling to balance performance maximization and variance minimization.