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2024-11-29
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Inflation Tracking Portfolios
We propose a new approach to constructing inflation tracking portfolios. The key to this approach is the insight that asset returns track expected inflation far better than they track current realized
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The selected assets and their investment ratio in the portfolio by Model (1).
The selected assets and their investment ratio in the portfolio by Model (1).
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Mean-variance data collections for multiperiod portfolio optimization problems
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Comparison of reward structures.
Traditional asset allocation rules, while effective in stable phases, tend to erode once markets enter volatile regimes or undergo structural breaks. Research in deep reinforcement learning (DRL) has
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Statistical Learning for Individualized Asset Allocation
We establish a high-dimensional statistical learning framework for individualized asset allocation. Our proposed methodology addresses continuous-action decision-making with a large number of characte
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