This paper introduces the MCTS algorithm to the financial world and focuses on solving significant multi-period financial planning models by combining a Monte Carlo Tree Search algorithm with a deep neural network. The MCTS provides an advanced start for the neural network so that the combined...

This paper provides a targeted review of machine learning methods that are impacting the field of wealth management. This is an area of great breadth and dynamic growth, and we focus on applications that in our experience are delivering benefits in practice to wealth management businesses by...

Portfolio optimization has been a central problem in finance, often approached with two steps: calibrating the parameters and then solving an optimization problem. Yet, the two-step procedure sometimes encounter the ``error maximization'' problem where inaccuracy in parameter estimation...

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 risk-parity objective, and provide a successive convex program algorithm that...