TPLVM: Portfolio Construction by Student's t-process Latent Variable Model

@article{Uchiyama2020TPLVMPC,
  title={TPLVM: Portfolio Construction by Student's t-process Latent Variable Model},
  author={Yusuke Uchiyama and Kei Nakagawa},
  journal={ArXiv},
  year={2020},
  volume={abs/2002.06243}
}
Optimal asset allocation is a key topic in modern finance theory. To realize the optimal asset allocation on investor's risk aversion, various portfolio construction methods have been proposed. Recently, the applications of machine learning are rapidly growing in the area of finance. In this article, we propose the Student's $t$-process latent variable model (TPLVM) to describe non-Gaussian fluctuations of financial timeseries by lower dimensional latent variables. Subsequently, we apply the… 
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