There are some financial chores you might have down to a science, like budgeting, filing taxes or auto-payments. And if you’re an investor, you should add portfolio optimization to this list. With ...

Many problems in quantitative finance involve both predictive forecasting and decision-based optimization. Traditionally, covariance forecasting models are optimized with unique prediction-based ...

In this paper, we propose a novel investment strategy for portfolio optimization problems. The proposed strategy maximizes the expected portfolio value bounded within a targeted range, composed of a ...

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