Machine Learning and Portfolio Optimization
Machine Learning and Portfolio Optimization
About this item
Full title
Machine Learning and Portfolio Optimization
Author / Creator
Publisher
Linthicum: INFORMS
Journal title
Management science, 2018-03, Vol.64 (3), p.1136-1154
Language
English
Formats
Publication information
Publisher
Linthicum: INFORMS
Subjects
More information
Scope and Contents
Contents
The portfolio optimization model has limited impact in practice because of estimation issues when applied to real data. To address this, we adapt two machine learning methods, regularization and cross-validation, for portfolio optimization. First, we introduce
performance-based regularization
(PBR), where the idea is to constrain the sample v...
Alternative Titles
Full title
Machine Learning and Portfolio Optimization
Authors, Artists and Contributors
Author / Creator
Identifiers
Primary Identifiers
Record Identifier
TN_cdi_proquest_journals_2130771775
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2130771775
Other Identifiers
ISSN
0025-1909
E-ISSN
1526-5501
DOI
10.1287/mnsc.2016.2644
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