Dynamic CVaR portfolio construction with attention-powered generative factor learning

DOI10.1016/j.jedc.2024.104821MaRDI QIDQ6558580

Chuting Sun, Xing Yan, Qi Wu

Publication date: 19 June 2024

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

zbMATH Keywords

tail propertiesattention-GRU networkCVaR portfolio optimizationdynamic portfolio constructiongenerative factor model

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Title not available (Why is that?)
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• High dimensional dynamic stochastic copula models
• Deep learning with long short-term memory networks for financial market predictions
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• Deep hedging of long-term financial derivatives
• Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
• A neural network enhanced volatility component model
• Robust Portfolio Control with Stochastic Factor Dynamics
• Exploring the attention mechanism in LSTM-based Hong Kong stock price movement prediction
• Large Dynamic Covariance Matrices

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