On Unified Adaptive Portfolio Management
Chi-Lin Li, Chung-Han Hsieh
paper2023-07-07English
deep learning portfolioarxiv
Description
This paper introduces a unified framework for adaptive portfolio management, integrating dynamic Black-Litterman (BL) optimization with the general factor model, Elastic Net regression, and mean-variance portfolio optimization, which allows us to generate investors views and mitigate potential estimation errors systematically. Specifically, we propose an innovative dynamic sliding window algorithm to respond to the constantly changing market conditions. This algorithm allows for the flexible win...
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