Portfolio optimization and quantitative risk management have been studied extensively since the 1990s and began to … reevaluate and mitigate the risk and return trade-off in building their clients´ portfolios. The advancement of machine …-based Predictive Model (EFPM). Then, we combine it with the Copula-GARCH simulation model and the Mean-Conditional Value at Risk (Mean …

We propose a portfolio rebalance framework that integrates machine learning models into the mean-risk portfolios in … multi-period settings with risk-aversion adjustment. In each period, the risk-aversion coefficient is adjusted automatically … risk of a portfolio and use a set of technical indicators generated from a market index (e.g., S&P 500 index) to feed the …