Integrating prediction in mean-variance portfolio optimization
Work
Year: 2023
Type: article
Abstract: In quantitative finance, prediction models are traditionally optimized independently from their use in the asset allocation decision-making process. We address this limitation and present a stochastic... more
Source: Quantitative Finance
Authors Andrew Butler, Roy H. Kwon
Institutions University of Toronto, University of New Brunswick
Cites: 29
Cited by: 13
Related to: 10
FWCI: 4.092
Citation percentile (by year/subfield): 99.99
Field: Decision Sciences
Domain: Social Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: green