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Repository Details
Data and source codes for the paper ``Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios" by Godeliva Petrina Marisu and Chi Seng Pun (Nanyang Technological University, Singapore), where we developed a new acquisition function EIVar that targets high expected improvement with low improvement variance and we proposed adjustments to the Bayesian optimization to account for the sequential feature of portfolio constructions.
