This repository redirects to the URL for the codes of the paper:
Yizun Lin, Yangyu Zhang, Zhao-Rong Lai*, Cheng Li, " Autonomous Sparse Mean-CVaR Portfolio Optimization", the 41st International Conference on Machine Learning (ICML, main track), 2024.
The URL is: https://github.com/linyizun2024/ASMCVaR.