A modified CTGAN-plus-features-based method for optimal asset allocation

DOI10.1080/14697688.2024.2329194MaRDI QIDQ6576887zbMATH OpenFDO

Authors Fernando F. Suárez, Omar Larré, Domingo Ramirez, Arturo O. Cifuentes

Publication date 23 July 2024

Published in Quantitative Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Portfolio theory (91G10)

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Cites work

• 60 years of portfolio optimization: practical challenges and current trends
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Can asset allocation limits determine portfolio risk-return profiles in DC pension schemes?
• Coherent measures of risk
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Robust approximation to multiperiod inventory management
• Some remarks on the value-at-risk and the conditional value-at-risk
• The Kolmogorov-Smirnov Test for Goodness of Fit
• The big data newsvendor: practical insights from machine learning

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