Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks

  title={Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks},
  author={Xiaoyue Li and A. Sinem Uysal and John M. Mulvey},
  journal={Eur. J. Oper. Res.},
We employ model predictive control for a multi-period portfolio optimization problem. In addition to the mean-variance objective, we construct a portfolio whose allocation is given by model predictive control with a riskparity objective, and provide a successive convex program algorithm that provides 30 times faster and robust solutions in the experiments. Computational results on the multi-asset universe show that multi-period models perform better than their single period counterparts in out… 

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