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SSRNPortfolio & Allocation

Portfolio Variable Selection

Machine learning methods can choose predictors for optimal portfolio choice, improving portfolio performance and decreasing portfolio risk, leading to high Sharpe ratios.

Featured in No. 79 on 18 Dec 2024 · 2 days after release

Released
16 Dec 2024
First featured
No. 79 · 18 Dec 2024
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
5
Identifier
SSRN 5059973

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

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