Jiang, Zhenlong; Ji, Ran; Chang, Kuo-Chu - In: Journal of risk and financial management : JRFM 13 (2020) 7/155, pp. 1-20
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 according to market trend movements predicted by...