---
title: Portfolio Evaluation
url: https://www.ml-quant.com/papers/repec/gam-jmathe-v-11-y-2023-i-1-p-221-d-1022556/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:gam:jmathe:v:11:y:2023:i:1:p:221-:d:1022556
source_url: https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2227-7390%2F11%2F1%2F221%2Fpdf%3Bh%3Drepec%3Agam%3Ajmathe%3Av%3A11%3Ay%3A2023%3Ai%3A1%3Ap%3A221-%3Ad%3A1022556
featured: 2023-05-24
citations: unknown
topic: Portfolio & Allocation
---


# Portfolio Evaluation

A new approach for evaluating portfolio performance using Euclidean distance is proposed.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fwww.mdpi.com%2F2227-7390%2F11%2F1%2F221%2Fpdf%3Bh%3Drepec%3Agam%3Ajmathe%3Av%3A11%3Ay%3A2023%3Ai%3A1%3Ap%3A221-%3Ad%3A1022556
- Identifier: RePEc:gam:jmathe:v:11:y:2023:i:1:p:221-:d:1022556
- Released: 2023-05-24
- First featured: Quant Letter No. 1 (2023-05-24): https://www.ml-quant.com/issues/2023-05-24/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Portfolio & Allocation

## Related

- [Risk Budgeting Allocation for Dynamic Risk Measures](https://www.ml-quant.com/papers/arxiv/2305.11319/): Risk budgeting allocation approach developed using dynamic risk contributions and deep learning.
- [Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market](https://www.ml-quant.com/papers/arxiv/2305.12539/): Study compares VaR-based and constant proportion portfolio insurance strategies in regime-switching framework.
- [A Simulation Package in VBA to Support Finance Students for Constructing Optimal Portfolios](https://www.ml-quant.com/papers/arxiv/2305.12826/): VBA software component for optimal portfolio creation using two methods demonstrated with real-time series data.
- [Machine Learning for Socially Responsible Portfolio Optimisation](https://www.ml-quant.com/papers/doi/10-1145-3596947-3596966/): MV model amended to consider ESG scores for socially responsible investing.
- [Effective Experience Rating for Large Insurance Portfolios via Surrogate Modeling](https://www.ml-quant.com/papers/arxiv/2211.06568/): A surrogate modeling approach is proposed to compute Bayesian credibility premiums for a given model.
- [Change point detection in dynamic Gaussian graphical models: The impact of COVID-19 pandemic on the U.S. stock market](https://www.ml-quant.com/papers/arxiv/2208.00952/): A Bayesian model is developed to capture changes in dependence across US industry stock portfolios during COVID-19.