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q-fin.PM2025
Estimating Covariance for Global Minimum Variance Portfolio: A Decision-Focused Learning Approach
Juchan Kim, Inwoo Tae, Yongjae Lee
Portfolio optimization constitutes a cornerstone of risk management by quantifying the risk-return trade-off. Since it inherently depends on accurate parameter estimation under con…
q-fin.PM2024★ 2 cited
Return Prediction for Mean-Variance Portfolio Selection: How Decision-Focused Learning Shapes Forecasting Models
Junhyeong Lee, Haeun Jeon, Hyunglip Bae +1
Markowitz laid the foundation of portfolio theory through the mean-variance optimization (MVO) framework. However, the effectiveness of MVO is contingent on the precise estimation…