K-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance?
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Publication:1680705
DOI10.1007/S10436-017-0301-4zbMATH Open1411.91505OpenAlexW2734987055MaRDI QIDQ1680705FDOQ1680705
Authors: M. Ryan Haley 
Publication date: 16 November 2017
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-017-0301-4
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Cites Work
- An introduction to statistical learning. With applications in R
- Analyzing Microarray Gene Expression Data
- Safety First and the Holding of Assets
- Optimal portfolio allocation with higher moments
- Gaussian and logistic adaptations of smoothed safety first
- Portfolio choice with endogenous utility: a large deviations approach.
- Robust portfolio optimization with a generalized expected utility model under ambiguity
- Generalized Safety First and a New Twist on Portfolio Performance
- Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
- Smoothed safety first and the holding of assets
- Portfolio management without probabilities or statistics
- Disparity, shortfall, and twice-endogenous HARA utility
Cited In (4)
- Multiple tests for the performance of different investment strategies
- Naive diversification with fewer assets. A risk reduction approach using clustering methods
- A nonparametric quantity-of-quality approach to assessing financial asset return performance
- Can volatility solve the naive portfolio puzzle?
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