Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
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Publication:2670553
DOI10.1016/j.ejor.2021.10.002zbMath1495.91106arXiv2103.10813OpenAlexW3206292229MaRDI QIDQ2670553
A. Sinem Uysal, John M. Mulvey, Xiaoyue Li
Publication date: 11 March 2022
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2103.10813
Related Items (6)
Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty ⋮ Risk budgeting portfolios from simulations ⋮ Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency ⋮ Online portfolio selection with state-dependent price estimators and transaction costs ⋮ Utility basis of consumption and investment decisions in a risk environment ⋮ Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity
Uses Software
Cites Work
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