End-to-end risk budgeting portfolio optimization with neural networks

DOI10.1007/S10479-023-05539-4zbMATH Open1542.91366MaRDI QIDQ6589084FDOQ6589084

John M. Mulvey, Xiaoyue Li, A. Sinem Uysal

Publication date: 19 August 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

asset selectionrisk parityend-to-end learningrisk budgeting portfolio optimization

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Portfolio theory (91G10) Optimal stochastic control (93E20)

Cites Work

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