End-to-end risk budgeting portfolio optimization with neural networks

DOI10.1007/s10479-023-05539-4zbMath1542.91366MaRDI QIDQ6589084

John M. Mulvey, Xiaoyue Li, A. Sinem Uysal

Publication date: 19 August 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

asset selectionrisk parityend-to-end learningrisk budgeting portfolio optimization

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Optimal stochastic control (93E20) Portfolio theory (91G10)

This page was built for publication: End-to-end risk budgeting portfolio optimization with neural networks