Ray Carroll

Neuberger Berman Breton Hill

2 Bloor St East

Toronto, Ontario M4W 1A8

Canada

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Optimal Asset Allocation for Outperforming a Stochastic Benchmark Target

Number of pages: 33 Posted: 29 Jun 2020
Chendi Ni, Yuying Li, Peter Forsyth and Ray Carroll
University of Waterloo - David R Cheriton School of Computer Science, University of Waterloo, University of Waterloo - David R. Cheriton School of Computer Science and Neuberger Berman Breton Hill
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Abstract:

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stochastic benchmark, portfolio allocation, neural network