A Geometric Approach To Asset Allocation With Investor Views

By Alexandre V. Antonov, Koushik Balasubramanian, Alexander Lipton, Marcos Lopez de Prado

Published 2024-06-03

Everscope rating

1751.5

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Generalized Wasserstein Barycenter. Problem types: Portfolio Optimization, Asset Allocation.

arXiv:2406.01199 · Paper rankings

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