In the past year, a new model for portfolio construction has emerged as the framework du jour. Positioned as a superior alternative to Strategic Asset Allocation, the Total Portfolio Approach promises ...

Every investment involves some level of risk. Investors typically seek higher returns to compensate for increased investment risks. While higher risk may result in higher returns, an optimised ...

In this paper we propose a machine learning algorithm for time-inconsistent portfolio optimization. The proposed algorithm builds on neural-network-based trading schemes, in which the asset allocation ...