- A. Borodin, R. El-Yaniv, and V. Gogan, “Can we learn to beat the best stock,†Journal of Artificial Intelligence Research, no. 21, 2004.
Paper not yet in RePEc: Add citation now
A. Charpentier, R. Elie, and C. Remlinger, “Reinforcement learning in economics and finance,†2020.
- A. Gelb, Applied Optimal Estimation. MIT Press: Cambridge MA, 1974.
Paper not yet in RePEc: Add citation now
- A. L. Strehl, L. Li, E. Wiewiora, J. Langford, and M. L. Littman, “Pac model-free reinforcement learning,†in Proceedings of the 23rd international conference on Machine learning, 2006, pp. 881–888.
Paper not yet in RePEc: Add citation now
- A. Meucci, “The black-litterman approach: Original model and extensions,†Shorter version in, THE ENCYCLOPEDIA OF QUANTITATIVE FINANCE, Wiley, 2010.
Paper not yet in RePEc: Add citation now
- A. W. Lo, “The adaptive markets hypothesis: Market efficiency from an evolutionary perspective,†2004.
Paper not yet in RePEc: Add citation now
- B. Li and S. C. Hoi, “Online portfolio selection: A survey,†ACM Computing Surveys (CSUR), vol. 46, no. 3, p. 35, 2014.
Paper not yet in RePEc: Add citation now
C. R. Harvey and A. Siddique, “Conditional skewness in asset pricing tests,†The Journal of Finance, vol. 55, no. 3, pp. 1263–1295, 2000.
- C. R. Harvey, Y. Liu, and H. Zhu, “ and the cross-section of expected returns,†The Review of Financial Studies, vol. 29, no. 1, pp. 5–68, 2016.
Paper not yet in RePEc: Add citation now
- D. Bailey and M. Lopez de Prado, “The deflated sharpe ratio: correcting for selection bias, backtest overfitting and non-normality,†Harvard University-RCC, 2014.
Paper not yet in RePEc: Add citation now
- D. Bailey and M. Lopez de Prado, “The deflated sharpe ratio: Correcting for selection bias, backtest overfitting, and non-normality,†The Journal of Portfolio Management, vol. 40, pp. 94–107, 09 2014.
Paper not yet in RePEc: Add citation now
- D. Bailey, J. Borwein, M. Lopez de Prado, and Q. Zhu, “The probability of backtest overfitting,†Journal of Computational Finance, vol. 20, pp. 39–69, 04 2017.
Paper not yet in RePEc: Add citation now
- D. H. Bailey and M. Lopez de Prado, “The sharpe ratio efficient frontier,†2012.
Paper not yet in RePEc: Add citation now
- D. H. Bailey, J. Borwein, M. Lpez de Prado, and Q. J. Zhu, “Pseudo-mathematics and financial charlatanism: The effects of backtest overfitting on out-of-sample performance,†Notices of the American Mathematical Society, vol. 61(5), pp. 458–471, 05 2014.
Paper not yet in RePEc: Add citation now
D. Hendricks and D. L. Wilcox, “A reinforcement learning extension to the almgren-chriss framework for optimal trade execution,†in Computational Intelligence for Financial Engineering & Economics (CIFEr), 2104 IEEE Conference on. IEEE, 2014, pp. 457–464.
D. L. Wilcox and T. Gebbie, “Hierarchical causality in financial economics,†Available at SSRN: https://ssrn.com/abstract=2544327, 2014. [Online]. Available: http://dx.doi.org/10.2139/ssrn.2544327
- D. L. Wilcox and T. J. Gebbie, “On pricing kernels, information and risk,†Investment Analysts Journal, vol. 44, no. 1, pp. 1–19, 2015.
Paper not yet in RePEc: Add citation now
- D. Snow, “Machine learning in asset managementpart 1: Portfolio constructiontrading strategies,†The Journal of Financial Data Science, vol. 2, no. 1, pp. 10–23, 2020.
Paper not yet in RePEc: Add citation now
E. F. Fama and K. R. French, “Common risk factors in the returns on stocks and bonds,†Journal of financial economics, vol. 33, no. 1, pp. 3–56, 1993.
- F. Black and R. Litterman, “Global portfolio optimization, †Financial analysts journal, vol. 48, no. 5, pp. 28– 43, 1992.
Paper not yet in RePEc: Add citation now
G.-Y. Ban, N. El Karoui, and A. E. Lim, “Machine learning and portfolio optimization,†Management Science, vol. 64, no. 3, pp. 1136–1154, 2018.
- H. Markowitz, “Portfolio selection,†The journal of finance, vol. 7, no. 1, pp. 77–91, 1952.
Paper not yet in RePEc: Add citation now
- H. Theil and A. S. Goldberger, “On pure and mixed statistical estimation in economics,†International Economic Review, vol. 2, no. 1, pp. 65–78, 1961.
Paper not yet in RePEc: Add citation now
- J. Gläscher, N. Daw, P. Dayan, and J. P. O’Doherty, “States versus rewards: dissociable neural prediction error signals underlying model-based and model-free reinforcement learning,†Neuron, vol. 66, no. 4, pp. 585– 595, 2010.
Paper not yet in RePEc: Add citation now
J. H. Cochrane, “Presidential address: Discount rates,†The Journal of finance, vol. 66, no. 4, pp. 1047–1108, 2011.
K. Daniel and S. Titman, “Evidence on the characteristics of cross sectional variation in stock returns,†the Journal of Finance, vol. 52, no. 1, pp. 1–33, 1997.
M. Lopez de Prado and M. J. Lewis, “Detection of false investment strategies using unsupervised learning methods,†Quantitative Finance, vol. 19, pp. 1–11, 07 2019.
N. Murphy and T. Gebbie, “Learning the dynamics of technical trading strategies,†2019.
O. Ledoit and M. Wolf, “Improved estimation of the covariance matrix of stock returns with an application to portfolio selection,†Journal of empirical finance, vol. 10, no. 5, pp. 603–621, 2003.
P. Jorion, “Bayes-stein estimation for portfolio analysis,†Journal of Financial and Quantitative Analysis, vol. 21, no. 3, pp. 279–292, 1986.
P. N. Kolm, R. Tütüncü, and F. J. Fabozzi, “60 years of portfolio optimization: Practical challenges and current trends,†European Journal of Operational Research, vol. 234, no. 2, pp. 356–371, 2014.
P. van Rensburg and M. Robertson, “Explaining the cross-section of returns in south africa: Attributes or factor loadings?†Journal of Asset Management, vol. 4, no. 5, pp. 334–347, 2003.
- R. A. Haugen, N. L. Baker et al., “Commonality in the determinants of expected stock returns,†Journal of Financial Economics, vol. 41, no. 3, pp. 401–439, 1996.
Paper not yet in RePEc: Add citation now
- R. Clarke, H. De Silva, and S. Thorley, “Portfolio constraints and the fundamental law of active management,†Financial Analysts Journal, vol. 58, no. 5, pp. 48–66, 2002.
Paper not yet in RePEc: Add citation now
R. D. McLean and J. Pontiff, “Does academic research destroy stock return predictability?†The Journal of Finance, vol. 71, no. 1, pp. 5–32, 2016.
R. Jagannathan and T. Ma, “Risk reduction in large portfolios: Why imposing the wrong constraints helps,†The Journal of Finance, vol. 58, no. 4, pp. 1651–1683, 2003.
- R. OToole, “The black–litterman model: active risk targeting and the parameter tau,†Journal of Asset Management, vol. 18, no. 7, pp. 580–587, 2017.
Paper not yet in RePEc: Add citation now
R. Roll, “A critique of the asset pricing theory’s tests part i: On past and potential testability of the theory,†Journal of financial economics, vol. 4, no. 2, pp. 129–176, 1977.
- R. S. Sutton and A. G. Barto, Reinforcement Learning: An Introduction. MIT Press, 1998.
Paper not yet in RePEc: Add citation now
- T. Gebbie and D. L. Wilcox, “Evidence of characteristic cross-sectional pricing of stock returns in south africa,†Unpublished manuscript, 2007.
Paper not yet in RePEc: Add citation now
- T. M. Cover and E. Ordentlich, “Universal portfolios with side information,†IEEE Transactions on Information Theory, vol. 42, 1996.
Paper not yet in RePEc: Add citation now
- T. M. Cover, “Universal portfolios,†Math. Finance., vol. 1, 1991.
Paper not yet in RePEc: Add citation now
W. E. Ferson and C. R. Harvey, “Conditioning variables and the cross section of stock returns,†The Journal of Finance, vol. 54, no. 4, pp. 1325–1360, 1999.
- W. Lee, Theory and methodology of tactical asset allocation. John Wiley & Sons, 2000, vol. 65.
Paper not yet in RePEc: Add citation now