Intelligent Black–Litterman Portfolio Optimization Using a Decomposition-Based Multi-Objective DIRECT Algorithm
It is agreed that portfolio optimization is of great importance for the financial market. However, input sensitivity and highly-concentrated portfolios have posed a challenge. In this paper, a random forest-based Black–Litterman model is developed, aiming to further enhance the portfolio performance...
Main Authors: | , , , , , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2022-07-01
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Series: | Applied Sciences |
Subjects: | |
Online Access: | https://www.mdpi.com/2076-3417/12/14/7089 |