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)

zbMATH Keywords

tail propertiesattention-GRU networkCVaR portfolio optimizationdynamic portfolio constructiongenerative factor model

Mathematics Subject Classification ID

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

Cites work

• scientific article; zbMATH DE number 7370574 (Why is no real title available?)
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• Large Dynamic Covariance Matrices
• Naive versus optimal diversification: tail risk and performance
• 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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