Matteo Maggiolo

IDSIA

Matteo Maggiolo holds a Master Degree in Engineering within the Data Science track. He works at IDSIA on the application of Deep Reinforcement Learning and Neural Networks in the context of financial Data Science.

Articles by Matteo Maggiolo

オリジナル・リサーチ

Overfitting in portfolio optimization

The authors measure the performance of sample-based rolling-window neural network (NN) portfolio optimization strategies and demonstrate that correctly set up NN-based strategies can outperform the 1/N strategy.

07 Sep 2023