Supervised portfolios

DOI10.1080/14697688.2022.2122543zbMath1518.91239OpenAlexW4297491151MaRDI QIDQ6158392

Guillaume Coqueret, Unnamed Author, Guillaume Chevalier

Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2122543

zbMATH Keywords

supervised learningportfolio choiceasset allocationboosted trees

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• The Model Confidence Set
• On the distribution of the product of correlated normal random variables
• Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500
• Diversified minimum-variance portfolios
• The Distribution of the Sample Minimum-Variance Frontier
• Equity Portfolio Diversification*
• Portfolio selection with higher moments
• A Reality Check for Data Snooping
• Common risk factors in the returns on stocks and bonds
• Unnamed Item

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