Integrating prediction in mean-variance portfolio optimization

DOI10.1080/14697688.2022.2162432zbMath1518.91237arXiv2102.09287OpenAlexW3169684165MaRDI QIDQ6158411

Unnamed Author, Roy H. Kwon

Publication date: 20 June 2023

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

Full work available at URL: https://arxiv.org/abs/2102.09287

zbMATH Keywords

regressionmean-variance optimizationdata-driven optimizationdifferentiable neural networks

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

Distributionally robust end-to-end portfolio construction

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