Dynamic CVaR portfolio construction with attention-powered generative factor learning

DOI10.1016/J.JEDC.2024.104821MaRDI QIDQ6558580zbMATH OpenFDO

Authors Chuting Sun, Qi Wu, Xing Yan

Publication date 19 June 2024

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JEDC.2024.104821

zbMATH Keywords

attention-GRU networkCVaR portfolio optimizationdynamic portfolio constructiongenerative factor modeltail properties

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A neural network enhanced volatility component model
• An evolutionary heuristic for the index tracking problem.
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• Deep hedging of long-term financial derivatives
• Deep learning with long short-term memory networks for financial market predictions
• Exploring the attention mechanism in LSTM-based Hong Kong stock price movement prediction
• High dimensional dynamic stochastic copula models
• Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
• Large Dynamic Covariance Matrices
• Naive versus optimal diversification: tail risk and performance
• Normalizing flows for probabilistic modeling and inference
• Optimal portfolio selection and dynamic benchmark tracking
• Robust portfolio control with stochastic factor dynamics
• Worst-case conditional value-at-risk with application to robust portfolio management

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