paper
Risk-aware Trading Portfolio Optimization
Marco Bianchetti, Gabriele D'Acunto, Gianmarco De Francisci Morales, Yuko Kuroki, Marco Scaringi
Risk-aware Trading Portfolio Optimization
Marco Bianchetti, Gabriele D'Acunto, Gianmarco De Francisci Morales, Yuko Kuroki, Marco Scaringi
paper2025-03-06English
algorithmic tradingarxiv
Description
We investigate portfolio optimization in financial markets from a trading and risk management perspective. We term this task Risk-Aware Trading Portfolio Optimization (RATPO), formulate the corresponding optimization problem, and propose an efficient Risk-Aware Trading Swarm (RATS) algorithm to solve it. The key elements of RATPO are a generic initial portfolio P, a specific set of Unique Eligible Instruments (UEIs), their combination into an Eligible Optimization Strategy (EOS), an objective fu...
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