Factor-based portfolio optimization

DOI10.1016/J.ECONLET.2023.111137MaRDI QIDQ6093697zbMATH OpenOpenAlexFDO

Authors Jun Kyung Auh, Wonho Cho

Publication date 12 September 2023

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2023.111137

zbMATH Keywords

algorithmic tradingfactor modelmachine learningportfolio optimization

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Portfolio theory (91G10)

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Cites work

• A characterization of the distributions that imply mean-variance utility functions
• Optimal characteristic portfolios
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• Practical Bayesian support vector regression for financial time series prediction and market condition change detection
• Support-vector networks
• Volatility forecasting via SVR-GARCH with mixture of Gaussian kernels

Cited in

(3)

• scientific article; zbMATH DE number 1928747 (Why is no real title available?)
• Supervised portfolios
• Randomized signature methods in optimal portfolio selection

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