Predict-then-optimise fits a forecast by a statistical loss (mean squared error, a likelihood) and passes it to an optimiser that chooses the portfolio; the two steps are fitted separately.
Quantitative Finance · Glosarium
Quantitative Finance · Glosarium
Predict-then-optimise fits a forecast by a statistical loss (mean squared error, a likelihood) and passes it to an optimiser that chooses the portfolio; the two steps are fitted separately.