Developing new portfolio strategies by aggregation (Q827154): Difference between revisions
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Revision as of 02:19, 5 March 2024
scientific article
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English | Developing new portfolio strategies by aggregation |
scientific article |
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Developing new portfolio strategies by aggregation (English)
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6 January 2021
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The authors propose a method to optimally combine N strategies having a given utility function. These strategies should be numerically computed, there is no requirement that strategies should have closed-form expression. It is used a nonparametric method to compute the optimal weights of combination. The proposed approach does not depend on distributional assumptions of assets returns. Empirical studies on real-world data are presented using three utility functions and a pool of five portfolio strategies. The presented method is computationally efficient.
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portfolio optimization
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asset allocation
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aggregation of strategies
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performance evaluation
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