ML-QuantSubscribe

SSRNPortfolio & Allocation

Robust Linear Regression for Portfolio Optimization

The research presents a new optimization framework that minimizes unknown parameters and addresses estimation error in portfolio optimizations by focusing on the row sums of precision matrix estimates.

Featured in No. 41 on 20 Mar 2024 · 4 days after release

Released
16 Mar 2024
First featured
No. 41 · 20 Mar 2024
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
3
Identifier
SSRN 4761214

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

    Type to search. Try rough volatility, LLM agents or FinGPT.

    ↑↓ move↵ openesc closeFull search page