Dynamic CVaR portfolio construction with attention-powered generative factor learning

DOI10.1016/J.JEDC.2024.104821MaRDI QIDQ6558580FDOQ6558580

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

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• Large Dynamic Covariance Matrices

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