Deep Parametric Portfolio Policies

The authors thank Victor DeMiguel, Christian Fieberg, Bryan Kelly, Alexander Klos, Simon Rottke, Mark Salmon, Fabricius Somogyi (discussant), Bastidon Cécile (discussant), Heiner Beckmeyer (discussant) and seminar participants at the Amsterdam Business School, the Research in Behavioral Finance Conference (RBFC), the Cardiff Fintech Conference, the 2022 New Zealand Finance Meeting (NZFM), the Paris Financial Management Conference (PFMC), the Theory-based Empirical Asset Pricing Research (TBEAR) Network Workshop 2023, the University of Liechtenstein, University Pompeu Fabra, the CEQURA Conference 2023 on Advances in Financial and Insurance Risk Management, the BVI-CFR Event 2023, the 4th Frontiers of Factor Investing 2024 Conference, the Oxford-Man Institute of Quantitative Finance, and the International Monetary Fund (IMF) Brownbag Research Seminar for helpful comments and suggestions.