HighDimensional Portfolio Optimization with Tree-Structured Factor Model
The paper proposes a new portfolio optimization method that uses multiple characteristic information to predict stock returns and risk exposures, demonstrating its effectiveness in achieving higher Sharpe ratios, smaller standard deviations, and lower turnover.
Featured in No. 22 on 18 Oct 2023 · on release day
- Released
- 18 Oct 2023
- First featured
- No. 22 · 18 Oct 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 15
- Identifier
- RePEc:eee:pacfin:v:81:y:2023:i:c:s0927538x23001774
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