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/S10436-017-0301-4zbMATH 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

zbMATH Keywords

cross validationportfolio choicenaive diversificationoptimal diversification

Mathematics Subject Classification ID

Portfolio theory (91G10)

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
• scientific article; zbMATH DE number 5726478
• 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

Describes a project that uses

Uses Software

• ISLR

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