A general framework for portfolio construction based on generative models of asset returns
In this paper, we present an integrated approach to portfolio construction and optimization, leveraging high-performance computing capabilities. We first explore diverse pairings of generative model forecasts and objective functions used for portfolio optimization, which are evaluated using performa...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co., Ltd.
2023-11-01
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| Series: | Journal of Finance and Data Science |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405918823000296 |