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...

Full description

Bibliographic Details
Main Authors: Chen Li, Yidong Chen, Xueying Yang, Zitian Wang, Zhonghua Lu, Xuebin Chi
Format: Article
Language:English
Published: MDPI AG 2022-07-01
Series:Applied Sciences
Subjects:
Online Access:https://www.mdpi.com/2076-3417/12/14/7089