---
title: Economic Value of Mean Squared Error
url: https://www.ml-quant.com/papers/ssrn/4856139/
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: SSRN 4856139
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4856139
featured: 2024-06-12
citations: unknown
topic: Portfolio & Allocation
---


# Economic Value of Mean Squared Error

The mean squared error (MSE) is a useful statistical loss function in portfolio selection, even though it is often used in decision problems with different loss functions.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4856139
- Identifier: SSRN 4856139
- Released: 2024-06-06
- First featured: Quant Letter No. 53 (2024-06-12): https://www.ml-quant.com/issues/2024-06-12/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Portfolio & Allocation

## Related

- [Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients](https://www.ml-quant.com/papers/arxiv/2406.10465/): The study offers solutions to an optimal investment-reinsurance problem for insurers under a specific model, using a system of complex mathematical equations.
- [Dynamic asset allocation with asset-specific regime forecasts](https://www.ml-quant.com/papers/arxiv/2406.09578/): The article introduces a new framework that enhances multi-asset portfolio construction by creating custom regime forecasts for each asset, proven effective through a practical study on a multi-asset portfolio.
- [DSPO: An End-to-End Framework for Direct Sorted Portfolio Construction](https://www.ml-quant.com/papers/arxiv/2405.15833/): The paper showcases Direct Sorted Portfolio Optimization (DSPO), a framework using neural networks to process stock data and construct sorted portfolios, proven effective on various markets.
- [Single-stage Portfolio Optimization with Automated Machine Learning for M6](https://www.ml-quant.com/papers/ssrn/4836123/): The M6 forecasting competition paper introduces a data-driven approach that directly optimizes portfolio weights, achieving a 9.5 global rate of return and an information ratio of 5.045.
- [Bond Portfolio Optimization at Life Insurance Companies: Duration Spread Ratio Optimization vs. Mean-Variance Optimization](https://www.ml-quant.com/papers/ssrn/4825814/): The research compares the effects of integrating credit risk and interest rate risk in bond portfolio optimization with traditional risk measures, introducing a new approach called Duration Spread Ratio (DSR) optimization that outperforms in all scenarios.
- [Mean-Variance Optimization for Participating Life Insurance Contracts](https://www.ml-quant.com/papers/arxiv/2407.11761/): The study provides formulas for optimal wealth and strategy for equity holders in life insurance contracts, suggesting increased risky investments during poor economic conditions.