This paper formulates a relaxed risk parity optimization model to control the balance of risk parity violation against the total portfolio performance. Risk parity has been criticized as being overly conservative and it is improved by re-introducing the asset expected returns into the model and...

We propose a novel multi-period trading model that allows portfolio managers to perform optimal portfolio allocation while incorporating their interpretable investment views. This model’s significant advantage is its intuitive and reactive design that incorporates the latest asset return...

This paper describes the development of a chatbot as a cognitive user interface for portfolio optimization. The financial portfolio optimization chatbot is proposed to provide an easy-to-use interface for portfolio optimization, including a wide range of investment objectives and flexibility to...

We present a novel technique for cardinality-constrained index-tracking, a common task in the financial industry. Our approach is based on market graph models. We model our reference indices as market graphs and express the index-tracking problem as a quadratic K-medoids clustering problem. We...