A novel adaptive multi-task learning framework with projection-penalized PCA learns cross-sector factor subspace relatedness to improve multi-sector factor model estimation and portfolio optimization.
arXiv preprint arXiv:2212.00428 , year=
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Adaptive Multi-task Learning for Multi-sector Portfolio Optimization
A novel adaptive multi-task learning framework with projection-penalized PCA learns cross-sector factor subspace relatedness to improve multi-sector factor model estimation and portfolio optimization.
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