Corpus ID: 231951402

Integrating prediction in mean-variance portfolio optimization

@inproceedings{Butler2021IntegratingPI,
  title={Integrating prediction in mean-variance portfolio optimization},
  author={A. Butler and R. Kwon},
  year={2021}
}
Many problems in quantitative finance involve both predictive forecasting and decision-based optimization. Traditionally, predictive models are optimized with unique prediction-based objectives and constraints, and are therefore unaware of how those predictions will ultimately be used in the context of their final decision-based optimization. We present a stochastic optimization framework for integrating regression based predictive models in a mean-variance portfolio optimization setting… Expand

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