End-to-end risk budgeting portfolio optimization with neural networks.
Ayse Sinem UysalXiaoyue LiJohn M. MulveyPublished in: Ann. Oper. Res. (2024)
Keyphrases
- end to end
- portfolio optimization
- neural network
- portfolio management
- risk management
- portfolio selection
- risk measures
- problems involving
- stock market
- bi objective
- factor analysis
- optimization methods
- stock price
- investment decisions
- robust optimization
- congestion control
- stock exchange
- sharpe ratio
- ad hoc networks
- neural network model
- multi objective
- clustering algorithm
- decision making
- real world