Almost exact risk budgeting with return forecasts for portfolio allocation.
Avinash BhardwajManjesh K. HanawalPurushottam ParthasarathyPublished in: Oper. Res. Lett. (2023)
Keyphrases
- investment strategies
- sharpe ratio
- portfolio management
- trading strategies
- portfolio optimization
- stock market
- financial markets
- stock exchange
- stock price
- decision making
- portfolio selection
- optimal allocation
- risk management
- short term
- investment decisions
- allocation strategy
- historical data
- resource allocation
- neural network
- portfolio theory
- brute force
- high risk
- problems involving
- combinatorial auctions
- risk averse
- resource allocation problems
- asset allocation