Forecasting Asset Dependencies to Reduce Portfolio Risk.
Haoren ZhuShih-Yang LiuPengfei ZhaoYingying ChenDik Lun LeePublished in: AAAI (2022)
Keyphrases
- portfolio theory
- investment decisions
- asset allocation
- portfolio management
- portfolio optimization
- decision making
- short term
- early warning
- risk management
- weather forecasting
- risk averse
- sharpe ratio
- minimum risk
- transaction costs
- risk assessment
- dependency analysis
- support vector regression
- efficient frontier
- medium term
- risk analysis
- high risk
- significantly reduced