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DOI:10.2139/ssrn.3453975 - Corpus ID: 207870082
@article{Capponi2019PersonalizedRE, title={Personalized Robo-Advising: Enhancing Investment through Client Interactions}, author={Agostino Capponi and Sveinn {\'O}lafsson and Thaleia Zariphopoulou}, journal={Consumer Behavioral Finance eJournal}, year={2019}, url={https://api.semanticscholar.org/CorpusID:207870082}}- A. Capponi, Sveinn Ólafsson, T. Zariphopoulou
- Published in Management Sciences 4 November 2019
- Business, Computer Science, Economics
A novel framework in which a robo-advisor interacts with a client to solve an adaptive mean-variance portfolio optimization problem is introduced and it is argued that the optimal portfolio’s Sharpe ratio and return distribution improve if the robos counters the clients’ tendency to reduce market exposure during economic contractions when the market risk-return tradeoff is more favorable.
33 Citations
3
12
3
Topics
Robo-advising (opens in a new tab)Robo-advisors (opens in a new tab)Clients (opens in a new tab)
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33 Citations
- Raquel M. GasparMadalena Oliveira
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This study aims to contribute by introducing an investor profiling method relying solely on investors’ relative risk aversion (RRA), which, in addition, allows for the determination of optimal allocations.
- M. DaiHanqing JinS. KouYuhong Xu
- 2021
Economics, Computer Science
Digital Finance
This work proposes to do the asset allocation part of robo-advising using a dynamic mean-variance criterion over the portfolio’s log returns, and obtains analytical and time-consistent optimal portfolio policies under jump-diffusion models and regime-switching models.
- 7
- Shih-Ti YuHaoran WangChaosheng Dong
- 2023
Economics, Computer Science
Research in International Business and Finance
- 8
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- S. YuYuxin ChenChaosheng Dong
- 2020
Economics, Business
ArXiv
This paper presents a novel approach of measuring risk preference from existing portfolios using inverse optimization on the mean-variance portfolio allocation framework and allows the learner to continuously estimate real-time risk preferences using concurrent observed portfolios and market price data.
- 4
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- Xiangyu CuiDuan LiXiao QiaoMoris S. Strub
- 2022
Economics, Business
Journal of the Operations Research Society of…
We propose a novel dynamic asset allocation framework based on a family of mean-variance-induced utility functions that alleviate the non-monotonicity and time-inconsistency problems of mean-variance…
- 5
- Gechun LiangMoris S. StrubYuwei Wang
- 2021
Economics, Mathematics
SSRN Electronic Journal
It is argued that predictable forward preferences are a viable framework to model preferences for robo-advising applications and determine an optimal interaction schedule between client and robo -advisor that balances a tradeoff between increasing uncertainty about the client's beliefs on the financial market and an interaction cost.
- 2
- Haoran WangS. Yu
- 2021
Computer Science, Business
2021 20th IEEE International Conference on…
This work proposes the first full-cycle data-driven investment robo-advising framework, consisting of two ML agents, which has shown to consistently outperform the S&P 500 benchmark portfolio that represents the aggregate market optimal allocation.
- A. M. CunhaJúlio Lobão
- 2023
Economics
Corvinus Journal of Sociology and Social Policy
This paper studies how high-net-worth individual (HNWI) investors changed their risk preferences during the Global Financial Crisis (from 2007 to 2009) and how their asset allocation evolved in the…
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- C. AlexanderJun DengB. Zou
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We consider a futures hedging problem subject to a budget constraint that limits the ability of a hedger with default aversion to meet margin requirements. We derive a semi-closed form for an optimal…
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- C. AlexanderJun DengB. Zou
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We consider the hedging problem where a futures position can be automatically liquidated by the exchange without notice. We derive a semi-closed form for an optimal hedging strategy with dual…
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65 References
- Francesco D’Ac*ntoN. PrabhalaAlberto G. Rossi
- 2019
Economics, Business
The Review of Financial Studies
We study a robo-advising portfolio optimizer that constructs tailored strategies based on in- vestors’ holdings and preferences. Adopters are similar to non-adopters in terms of demographics, but…
- 235
- Highly Influential
- PDF
- Alberto G. RossiStephen Utkus
- 2020
Economics, Computer Science
SSRN Electronic Journal
A machine learning algorithm is used, known as Boosted Regression Trees (BRT), to explain the cross-sectional variation in the effects of advice on portfolio allocations and performance, which increases investors’ overall risk-adjusted performance.
- 45
- PDF
- Alberto G. RossiStephen Utkus
- 2020
Economics, Business
We use a broad survey to elicit investor needs and their satisfaction in the context of financial advice. We provide evidence that traditionally-advised individuals do not hire financial advisors…
- 34
- S. BenartziR. Thaler
- 1993
Economics
The equity premium puzzle, first documented by Mehra and Prescott, refers to the empirical fact that stocks have greatly outperformed bonds over the last century. As Mehra and Prescott point out, it…
- 2,760
- PDF
- M. DaiHanqing JinS. KouYuhong Xu
- 2021
Economics, Mathematics
Manag. Sci.
We propose a dynamic portfolio choice model with the mean-variance criterion for log returns. The model yields time-consistent portfolio policies and is analytically tractable even under some…
- 64
- PDF
- Stefan Schneider
- 2017
Business, Economics
In the US, robo-advisor start-ups’ AuM saw an 8-fold increase in recent years on the back of some retirement savings shifting to robo-advisor accounts. European robo-advisors’ AuM is only some 5-6%…
- 33
- Highly Influential
- Suleyman BasakG. Chabakauri
- 2009
Economics, Mathematics
Mean-variance criteria remain prevalent in multi-period problems, and yet not much is known about their dynamically optimal policies. We provide a fully analytical characterization of the optimal…
- 548
- Highly Influential
- PDF
- Lei FengMark S. Seasholes
- 2005
Economics, Business
This paper provides an in depth analysis of an investor's reluctance to realize losses and his propensity to realize gains - a behavior known as the disposition effect. Together, sophistication…
- 778
- PDF
- T. BjörkAgatha MurgociX. Zhou
- 2014
Economics
The objective of this paper is to study the mean–variance portfolio optimization in continuous time. Since this problem is time inconsistent we attack it by placing the problem within a game…
- 447
- PDF
- M. KritzmanSébastien PageD. Turkington
- 2012
Economics
Regime shifts present significant challenges for investors because they cause performance to depart significantly from the ranges implied by long-term averages of means and covariances. But regime…
- 135
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