Machine Learning and Portfolio Optimization
نویسندگان
چکیده
منابع مشابه
Machine Learning and Portfolio Optimization
We modify two popular methods in machine learning, regularization and cross-validation, for the portfolio optimization problem. First, we introduce performance-based regularization (PBR), where the idea is to constrain the sample variances of the estimated portfolio risk and return. The goal of PBR is to steer the solution towards one associated with less estimation error in the performance. We...
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ژورنال
عنوان ژورنال: Management Science
سال: 2018
ISSN: 0025-1909,1526-5501
DOI: 10.1287/mnsc.2016.2644