An improvement of stochastic gradient descent approach for
mean-variance portfolio optimization problem

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An improvement of stochastic gradient descent approach for mean-variance portfolio optimization problem

In this paper, the current variant technique of the stochastic gradient descent (SGD) approach, namely, the adaptive moment estimation (Adam) approach, is improved by adding the standard error in the updating rule. ,e aim is to fasten the convergence rate of the Adam algorithm. ,is improvement is...

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Bibliographic Details
Main Authors:	S. W. Su, Stephanie, Kek, Sie Long
Format:	Article
Language:	English
Published:	2021
Subjects:	QA76 Computer software
Online Access:	http://eprints.uthm.edu.my/2327/ http://eprints.uthm.edu.my/2327/1/J12286_58525d433e35f3854a4226ebd4fc4e38.pdf

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