most citedMulti-Period Portfolio Optimization using Model Predictive Control with Mean-Variance and Risk Parity Frameworks

6 citations · 6 across the 1 of their papers we have counts for

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1 paper

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…