Optimal asset allocation for outperforming a stochastic benchmark target

DOI10.1080/14697688.2022.2072233zbMath1505.91354arXiv2006.15384OpenAlexW3037341192WikidataQ114098664 ScholiaQ114098664MaRDI QIDQ5039625

Yuying Li, Chendi Ni, Ray Carroll, Peter A. I. Forsyth

Publication date: 30 September 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.15384

zbMATH Keywords

defined contribution pension planneural network optimizationblock bootstrap resamplingoptimal multi-period dynamic asset allocation strategystochastic benchmark target portfolio

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Artificial neural networks and deep learning (68T07) Portfolio theory (91G10) Neural nets and related approaches to inference from stochastic processes (62M45) Actuarial mathematics (91G05)

Related Items (3)

Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’ ⋮ BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID ⋮ Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach

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