A Machine Learning Integrated Portfolio Rebalance Framework with Risk-Aversion Adjustment

A Machine Learning Integrated Portfolio Rebalance Framework with Risk-Aversion Adjustment

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 machine le...

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Bibliographic Details
Main Authors: Zhenlong Jiang, Ran Ji, Kuo-Chu Chang
Format: Article
Language:English
Published: MDPI AG 2020-07-01
Series:Journal of Risk and Financial Management
Subjects:
portfolio optimization
Mean-Gini model
risk-aversion coefficient
machine learning models
technical indicators
information fusion
Online Access:https://www.mdpi.com/1911-8074/13/7/155

Internet

https://www.mdpi.com/1911-8074/13/7/155

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