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Andrew Butler

University of Toronto - Department of Mechanical and Industrial Engineering

5 King's College Road

Toronto, Ontario M5S 3G8

Canada

  • University of Toronto - Department of Mechanical and Industrial Engineering

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Scholarly Papers (1)

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Integrating Prediction in Mean-Variance Portfolio Optimization

Number of pages: 48 Posted: 23 Feb 2021 Last Revised: 27 Sep 2021
Andrew Butler and Roy Kwon
University of Toronto - Department of Mechanical and Industrial Engineering and University of Toronto - Department of Mechanical and Industrial Engineering
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Citation 11

Abstract:

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Data driven stochastic-programming, Regression, Mean-variance optimization, Empirical risk minimization, Differentiable neural networks