\(K\)-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?

DOI10.1007/s10436-017-0301-4zbMath1411.91505OpenAlexW2734987055MaRDI QIDQ1680705

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

zbMATH Keywords

portfolio choicecross validationnaive diversificationoptimal diversification

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

A nonparametric quantity-of-quality approach to assessing financial asset return performance

Uses Software

• ISLR

Cites Work

• Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
• Gaussian and logistic adaptations of smoothed safety first
• Optimal portfolio allocation with higher moments
• Robust portfolio optimization with a generalized expected utility model under ambiguity
• Portfolio management without probabilities or statistics
• Portfolio choice with endogenous utility: a large deviations approach.
• Analyzing Microarray Gene Expression Data
• Generalized Safety First and a New Twist on Portfolio Performance
• An Introduction to Statistical Learning
• Disparity, Shortfall, and Twice-Endogenous HARA Utility
• Smoothed safety first and the holding of assets
• Safety First and the Holding of Assets