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

DOI10.1080/14697688.2024.2329194zbMATH Open1545.91285MaRDI QIDQ6576887FDOQ6576887

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)

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Mathematics Subject Classification ID

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

Cites Work

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

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