Mean-variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem

DOI10.1007/S10479-022-04881-3zbMATH Open1537.9128MaRDI QIDQ6547041FDOQ6547041

Authors: Michele Costola, Bertrand Maillet, Zhining Yuan, Xiang Zhang 

Publication date: 30 May 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

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zbMATH Keywords

machine learningtwo-fund separation theoremrobust portfoliosmean-variance efficient portfolioshigh-dimensional portfolios

Mathematics Subject Classification ID

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

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Cited In (1)

• Monte Carlo within simulated annealing for integral constrained optimizations

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