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

DOI10.1007/S10479-023-05539-4MaRDI QIDQ6589084zbMATH OpenFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1304941 (Why is no real title available?)
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• Integrating prediction in mean-variance portfolio optimization
• Least-squares approach to risk parity in portfolio selection
• Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
• Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network
• Stochastic optimization methods in finance and energy. New financial products and energy market strategies. Selected papers based on the presentations at the spring school of stochastic programming, Bergamo, Italy, April 10--20, 2007, and the 11th international symposium on stochastic programming (SPXI), Vienna, Austria, August 27--31, 2007
• Tests for departure from normality: Comparison of powers
• The impact of covariance misspecification in risk-based portfolios

Cited in

(1)

• Distributionally robust end-to-end portfolio construction

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