6 citations · 7 across the 3 of their papers we have counts for
Showing 2021Show all
2 papers · 1 filter
q-fin.PM2021
End-to-End Risk Budgeting Portfolio Optimization with Neural Networks
Ayse Sinem Uysal, Xiaoyue Li, John M. Mulvey
Portfolio optimization has been a central problem in finance, often approached with two steps: calibrating the parameters and then solving an optimization problem. Yet, the two-ste…
q-fin.PM2021★ 6 cited
Multi-Period Portfolio Optimization using Model Predictive Control with Mean-Variance and Risk Parity Frameworks
Xiaoyue Li, A. Sinem Uysal, John M. Mulvey
We employ model predictive control for a multi-period portfolio optimization problem. In addition to the mean-variance objective, we construct a portfolio whose allocation is given…