73 citations · 137 across the 17 of their papers we have counts for
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q-fin.PM2021★ 1 cited
Robo-Advising: Enhancing Investment with Inverse Optimization and Deep Reinforcement Learning
Haoran Wang, Shi Yu
Machine Learning (ML) has been embraced as a powerful tool by the financial industry, with notable applications spreading in various domains including investment management. In thi…
q-fin.PM2020★ 4 cited
Learning Risk Preferences from Investment Portfolios Using Inverse Optimization
Shi Yu, Haoran Wang, Chaosheng Dong
The fundamental principle in Modern Portfolio Theory (MPT) is based on the quantification of the portfolio's risk related to performance. Although MPT has made huge impacts on the…