英文标题：
《Active Preference Learning for Personalized Portfolio Construction》
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作者：
Kevin Tee, Michael McCourt, Ruben Martinez-Cantin, Ian Dewancker,
Frank Liu
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最新提交年份：
2017
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英文摘要：
In financial asset management, choosing a portfolio requires balancing returns, risk, exposure, liquidity, volatility and other factors. These concerns are difficult to compare explicitly, with many asset managers using an intuitive or implicit sense of their interaction. We propose a mechanism for learning someone\'s sense of distinctness between portfolios with the goal of being able to identify portfolios which are predicted to perform well but are distinct from the perspective of the user. This identification occurs, e.g., in the context of Bayesian optimization of a backtested performance metric. Numerical experiments are presented which show the impact of personal beliefs in informing the development of a diverse and high-performing portfolio.
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中文摘要：
在金融资产管理中，选择投资组合需要平衡收益、风险、敞口、流动性、波动性和其他因素。这些担忧很难进行明确的比较，因为许多资产管理人对他们的互动有着直观或隐含的感觉。我们提出了一种学习某人在投资组合之间的区分感的机制，目的是能够识别出预期表现良好但与用户角度不同的投资组合。例如，在对回溯测试的性能指标进行贝叶斯优化的情况下，就会出现这种识别。数值实验显示了个人信念对多样化和高绩效投资组合发展的影响。
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分类信息：

一级分类：Computer Science 计算机科学
二级分类：Computational Engineering, Finance, and Science 计算工程、金融和科学
分类描述：Covers applications of computer science to the mathematical modeling of complex systems in the fields of science, engineering, and finance. Papers here are interdisciplinary and applications-oriented, focusing on techniques and tools that enable challenging computational simulations to be performed, for which the use of supercomputers or distributed computing platforms is often required. Includes material in ACM Subject Classes J.2, J.3, and J.4 (economics).
涵盖了计算机科学在科学、工程和金融领域复杂系统的数学建模中的应用。这里的论文是跨学科和面向应用的，集中在技术和工具，使挑战性的计算模拟能够执行，其中往往需要使用超级计算机或分布式计算平台。包括ACM学科课程J.2、J.3和J.4（经济学）中的材料。
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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