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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\(K\)-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?
\(K\)-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?
Recommendations
- Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
- A review of credibilistic portfolio selection
- Comparison of different estimation techniques for portfolio selection
- Kernel search: a new heuristic framework for portfolio selection
- An out-of-sample evaluation of dynamic portfolio strategies
- Multiperiod credibilitic mean semi-absolute deviation portfolio selection
- On portfolio choice by maximizing the outperformance probability
- The effect of regularization in portfolio selection problems
- Publication:3570256
- KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES
Cites work
- An introduction to statistical learning. With applications in R
- Analyzing Microarray Gene Expression Data
- Disparity, shortfall, and twice-endogenous HARA utility
- Gaussian and logistic adaptations of smoothed safety first
- Generalized Safety First and a New Twist on Portfolio Performance
- Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
- Optimal portfolio allocation with higher moments
- Portfolio choice with endogenous utility: a large deviations approach.
- Portfolio management without probabilities or statistics
- Robust portfolio optimization with a generalized expected utility model under ambiguity
- Safety First and the Holding of Assets
- Smoothed safety first and the holding of assets
Cited in
(4)- Can volatility solve the naive portfolio puzzle?
- Naive diversification with fewer assets. A risk reduction approach using clustering methods
- A nonparametric quantity-of-quality approach to assessing financial asset return performance
- Multiple tests for the performance of different investment strategies
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