基于修正 CTGAN 加特征的优化资产配置方法

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2024-04-08 DOI:10.1080/14697688.2024.2329194

José-Manuel Pe na, Fernando Suárez, Omar Larré, Domingo Ramírez, Arturo Cifuentes

引用次数: 0

摘要

我们提出了一种利用合成数据生成和 CVaR 约束的独特组合来优化投资组合的新方法。我们将投资组合优化问题表述为...

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A modified CTGAN-plus-features-based method for optimal asset allocation

We propose a new approach to portfolio optimization that utilizes a unique combination of synthetic data generation and a CVaR-constraint. We formulate the portfolio optimization problem as an asse...

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.