In this paper, we present an integrated approach to portfolio construction and optimization, leveraging high-performance computing capabilities. We first explore diverse pairings of generative model forecasts and objective functions used for portfolio optimization, which are evaluated using...

In this paper, we study a general framework for portfolio construction based on generative models of asset returns. We comprehensively investigate and compare portfolios built on simulations of several generative models. We also use various objective functions for portfolio construction and...

Value-at-Risk (VaR) and Expected Shortfall (ES) are common high quantile-based risk measures adopted in financial regulations and risk management. In this paper, we propose a tail risk measure based on the most probable maximum size of risk events (MPMR) that can occur over a length of time....