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- W3136012612 abstract "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 by model predictive control with a risk-parity objective, and provide a successive convex program algorithm that provides 30 times faster and robust solutions in the experiments. Computational results on the multi-asset universe show that multi-period models perform better than their single period counterparts in out-of-sample period, 2006-2020. The out-of-sample risk-adjusted performance of both mean-variance and risk-parity formulations beat the fix-mix benchmark, and achieve Sharpe ratio of 0.64 and 0.97, respectively." @default.
- W3136012612 created "2021-03-29" @default.
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- W3136012612 date "2021-03-19" @default.
- W3136012612 modified "2023-10-16" @default.
- W3136012612 title "Multi-Period Portfolio Optimization using Model Predictive Control with Mean-Variance and Risk Parity Frameworks" @default.
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- W3136012612 doi "https://doi.org/10.48550/arxiv.2103.10813" @default.
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