[go: up one dir, main page]
create a website
A Meta-Method for Portfolio Management Using Machine Learning for Adaptive Strategy Selection. (2021). Gorse, Denise ; Kisiel, Damian.
In: Papers.
RePEc:arx:papers:2111.05935.

Full description at Econpapers || Download paper

Cited: 2

Citations received by this document

Cites: 21

References cited by this document

Cocites: 47

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Axial-LOB: High-Frequency Trading with Axial Attention. (2022). Gorse, Denise ; Kisiel, Damian.
    In: Papers.
    RePEc:arx:papers:2212.01807.

    Full description at Econpapers || Download paper

  2. Portfolio Transformer for Attention-Based Asset Allocation. (2022). Gorse, Denise ; Kisiel, Damian.
    In: Papers.
    RePEc:arx:papers:2206.03246.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. [1] Adam Butler. 2018. Portfolio Optimization: Simple versus Optimal Methods. Retrieved June 18, 2021 from https://www.advisorperspectives.com/articles/2018/ 10/15/portfolio-optimization-simple-versus-optimal-methods

  2. [10] Marwan Izzeldin, M. Kabir Hassan, Vasileios Pappas, and Mike Tsionas. 2019. Forecasting realised volatility using ARFIMA and HAR models. Quantitative Finance 19, 10 (2019), 1627–1638.

  3. [11] Markus Jaeger, Stephan Krügel, Dimitri Marinelli, Jochen Papenbrock, and Peter Schwendner. 2021. Interpretable Machine Learning for Diversified Portfolio Construction. The Journal of Financial Data Science 3, 4 (June 2021).
    Paper not yet in RePEc: Add citation now
  4. [12] Damiano Lombardi and Sanjay Pant. 2016. Nonparametric k-nearest-neighbor entropy estimator. Physical Review 93, 1 (2016), 013310.
    Paper not yet in RePEc: Add citation now

  5. [13] Sébastien Maillard, Thierry Roncalli, and Jérôme Teïletche. 2010. The properties of equally weighted risk contribution portfolios. The Journal of Portfolio Management 36, 4 (2010), 60–70.

  6. [14] Vladimir Alexandrovich Marchenko and Leonid Andreevich Pastur. 1967. Distribution of eigenvalues for some sets of random matrices. Matematicheskii Sbornik 114, 4 (1967), 507–536.
    Paper not yet in RePEc: Add citation now
  7. [15] Harry Markowitz. 1952. Portfolio Selection. The Journal of Finance 7, 1 (1952), 77–91. http://www.jstor.org/stable/2975974
    Paper not yet in RePEc: Add citation now

  8. [16] Dariush Najarzadeh. 2019. Testing equality of standardized generalized variances of k multivariate normal populations with arbitrary dimensions. Statistical Methods & Applications 28, 4 (2019), 593–623.

  9. [17] Marcos Lopez De Prado. 2016. Building diversified portfolios that outperform out of sample. The Journal of Portfolio Management 42, 4 (2016), 59–69.
    Paper not yet in RePEc: Add citation now

  10. [18] Thierry Roncalli. 2013. Introduction to risk parity and budgeting. CRC Press.

  11. [19] Robert R. Sokal and F. James Rohlf. 1962. The comparison of dendrograms by objective methods. Taxon 11, 2 (1962), 33–40.
    Paper not yet in RePEc: Add citation now
  12. [2] Phasit Charoenkwan, Chanin Nantasenamat, Md Mehedi Hasan, and Watshara Shoombuatong. 2020. Meta-iPVP: a sequence-based meta-predictor for improving the prediction of phage virion proteins using effective feature representation. Journal of Computer-Aided Molecular Design 34, 10 (2020), 1105–1116.
    Paper not yet in RePEc: Add citation now
  13. [20] Frank A. Sortino and Lee N. Price. 1994. Performance measurement in a downside risk framework. The Journal of Investing 3, 3 (1994), 59–64.
    Paper not yet in RePEc: Add citation now

  14. [21] Herold Ulf and Maurer Raimond. 2006. Portfolio choice and estimation risk. A comparison of Bayesian to heuristic approaches. The Journal of the IAA 36, 1 (2006), 135–160.

  15. [3] Denis Chaves, Jason Hsu, Feifei Li, and Omid Shakernia. 2011. Risk parity portfolio vs. other asset allocation heuristic portfolios. The Journal of Investing 20, 1 (2011), 108–118.
    Paper not yet in RePEc: Add citation now

  16. [4] Alexei Chekhlov, Stanislav Uryasev, and Michael Zabarankin. 2005. Drawdown measure in portfolio optimization. International Journal of Theoretical and Applied Finance 8, 1 (2005), 13–58.

  17. [5] Tianqi Chen and Carlos Guestrin. 2016. Xgboost: A scalable tree boosting system. In Proceedings of the 22nd acm sigkdd international conference on knowledge discovery and data mining. 785–794.
    Paper not yet in RePEc: Add citation now
  18. [6] Alan K. Cline, Cleve B. Moler, George W. Stewart, and James H. Wilkinson. 1979. An estimate for the condition number of a matrix. SIAM J. Numer. Anal. 16, 2 (1979), 368–375.
    Paper not yet in RePEc: Add citation now

  19. [7] Robert Engle. 2002. Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics 20, 3 (2002), 339–350.

  20. [8] Maria Halkidi, Yannis Batistakis, and Michalis Vazirgiannis. 2001. On clustering validation techniques. Journal of Intelligent Information Systems 17, 2 (2001), 107–145.
    Paper not yet in RePEc: Add citation now
  21. [9] Takashi Ishida and Kengo Kinoshita. 2008. Prediction of disordered regions in proteins based on the meta approach. Bioinformatics 24, 11 (2008), 1344–1348.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Mirror, Mirror on the Wall: Algorithmic Assessments, Transparency, and Self-Fulfilling Prophecies. (2024). Gill, Andrej ; Bauer, Kevin.
    In: Information Systems Research.
    RePEc:inm:orisre:v:35:y:2024:i:1:p:226-248.

    Full description at Econpapers || Download paper

  2. Dynamic CVaR portfolio construction with attention-powered generative factor learning. (2024). Yan, Xing ; Wu, QI ; Sun, Chuting.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:160:y:2024:i:c:s0165188924000137.

    Full description at Econpapers || Download paper

  3. Autonomous Sparse Mean-CVaR Portfolio Optimization. (2024). Li, Cheng ; Lai, Zhao-Rong ; Zhang, Yangyu ; Lin, Yizun.
    In: Papers.
    RePEc:arx:papers:2405.08047.

    Full description at Econpapers || Download paper

  4. Explainable Risk Classification in Financial Reports. (2024). Kok, Stanley ; Tan, Xue Wen.
    In: Papers.
    RePEc:arx:papers:2405.01881.

    Full description at Econpapers || Download paper

  5. Large portfolio optimisation approaches. (2023). Önder, A. Özlem ; Ulasan, Esra.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00322-3.

    Full description at Econpapers || Download paper

  6. Enhancing stock market anomalies with machine learning. (2023). Hoegner, Christopher ; Azevedo, Vitor.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:60:y:2023:i:1:d:10.1007_s11156-022-01099-z.

    Full description at Econpapers || Download paper

  7. A Synthetic Data-Plus-Features Driven Approach for Portfolio Optimization. (2023). Cifuentes, Arturo ; Rahimian, Hamed ; Ramirez, Domingo ; Pagnoncelli, Bernardo K.
    In: Computational Economics.
    RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10274-2.

    Full description at Econpapers || Download paper

  8. Expl(AI)ned: The Impact of Explainable Artificial Intelligence on Users’ Information Processing. (2023). Hinz, Oliver ; von Zahn, Moritz ; Bauer, Kevin.
    In: Information Systems Research.
    RePEc:inm:orisre:v:34:y:2023:i:4:p:1582-1602.

    Full description at Econpapers || Download paper

  9. Dynamic portfolio optimization with inverse covariance clustering. (2023). Aste, Tomaso ; Wang, Yuanrong.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:117701.

    Full description at Econpapers || Download paper

  10. High-dimensional portfolio optimization based on tree-structured factor model. (2023). Zhu, Shushang ; Zhao, Huimin ; Zheng, Tiantian ; Ni, Xuanming.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:81:y:2023:i:c:s0927538x23001774.

    Full description at Econpapers || Download paper

  11. An on-line machine learning return prediction. (2023). Tian, Weidong ; Lu, Yueliang.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23001154.

    Full description at Econpapers || Download paper

  12. Automated stock picking using random forests. (2023). Breitung, Christian.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:72:y:2023:i:c:p:532-556.

    Full description at Econpapers || Download paper

  13. Risk management in solar-based power plants with storage: a comparative study. (2023). Mora, Carlos Ruiz ; Oliveira, Fernando S.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:38369.

    Full description at Econpapers || Download paper

  14. Efficient Solution of Portfolio Optimization Problems via Dimension Reduction and Sparsification. (2023). Benson, Hande Y ; Buhler, Cassidy K.
    In: Papers.
    RePEc:arx:papers:2306.12639.

    Full description at Econpapers || Download paper

  15. A GRU-Based Dynamic Generative Factor Model for CVaR Portfolio Optimization. (2023). Yan, Xing ; Ma, Wenxuan ; Sun, Chuting.
    In: Papers.
    RePEc:arx:papers:2301.07318.

    Full description at Econpapers || Download paper

  16. .

    Full description at Econpapers || Download paper

  17. .

    Full description at Econpapers || Download paper

  18. Quantile regression forests for individualized surgery scheduling. (2022). van Oyen, Mark P ; Lam, Henry ; Meisami, Amirhossein ; Dean, Arlen ; Kastango, Nick ; Stromblad, Christopher.
    In: Health Care Management Science.
    RePEc:kap:hcarem:v:25:y:2022:i:4:d:10.1007_s10729-022-09609-0.

    Full description at Econpapers || Download paper

  19. Smart “Predict, then Optimize”. (2022). Grigas, Paul ; Elmachtoub, Adam N.
    In: Management Science.
    RePEc:inm:ormnsc:v:68:y:2022:i:1:p:9-26.

    Full description at Econpapers || Download paper

  20. The Bigger Picture: Combining Econometrics with Analytics Improves Forecasts of Movie Success. (2022). Xie, Tian ; Lehrer, Steven F.
    In: Management Science.
    RePEc:inm:ormnsc:v:68:y:2022:i:1:p:189-210.

    Full description at Econpapers || Download paper

  21. A Review on Machine Learning for Asset Management. (2022). Baixauli-Soler, Juan Samuel ; Garcia-Garcia, Alberto ; Mirete-Ferrer, Pedro M ; Prats, Maria A.
    In: Risks.
    RePEc:gam:jrisks:v:10:y:2022:i:4:p:84-:d:793303.

    Full description at Econpapers || Download paper

  22. Chasing the ESG factor. (2022). Tarelli, Andrea ; Lioui, Abraham.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:139:y:2022:i:c:s0378426622000929.

    Full description at Econpapers || Download paper

  23. Managing downside risk of low-risk anomaly portfolios. (2022). Kim, Saejoon.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321003883.

    Full description at Econpapers || Download paper

  24. Data?driven storage operations: Cross?commodity backtest and structured policies. (2022). Minner, Stefan ; Nadarajah, Selvaprabu ; Mandl, Christian ; Gavirneni, Srinagesh.
    In: Production and Operations Management.
    RePEc:bla:popmgt:v:31:y:2022:i:6:p:2438-2456.

    Full description at Econpapers || Download paper

  25. Credit Rating Prediction Through Supply Chains: A Machine Learning Approach. (2022). Zhou, Sean X ; Zhang, Zhaocheng ; Wu, Jing.
    In: Production and Operations Management.
    RePEc:bla:popmgt:v:31:y:2022:i:4:p:1613-1629.

    Full description at Econpapers || Download paper

  26. Dynamic Portfolio Optimization with Inverse Covariance Clustering. (2022). Aste, Tomaso ; Wang, Yuanrong.
    In: Papers.
    RePEc:arx:papers:2112.15499.

    Full description at Econpapers || Download paper

  27. On the optimal combination of naive and mean-variance portfolio strategies. (2022). Vrins, Frederic ; Vanderveken, Rodolphe ; Lassance, Nathan.
    In: LIDAM Discussion Papers LFIN.
    RePEc:ajf:louvlf:2022006.

    Full description at Econpapers || Download paper

  28. .

    Full description at Econpapers || Download paper

  29. A strategic framework for artificial intelligence in marketing. (2021). Rust, Roland T ; Huang, Ming-Hui.
    In: Journal of the Academy of Marketing Science.
    RePEc:spr:joamsc:v:49:y:2021:i:1:d:10.1007_s11747-020-00749-9.

    Full description at Econpapers || Download paper

  30. A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks. (2021). Rosch, Daniel ; Kircher, Felix.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002375.

    Full description at Econpapers || Download paper

  31. Reduction of estimation risk in optimal portfolio choice using redundant constraints. (2021). Rosales, Francisco ; Chavez-Bedoya, Luis.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002532.

    Full description at Econpapers || Download paper

  32. Predicting corporate carbon footprints for climate finance risk analyses: A machine learning approach. (2021). Kuruppuarachchi, Duminda ; Diaz-Rainey, Ivan ; Nguyen, Quyen.
    In: Energy Economics.
    RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000347.

    Full description at Econpapers || Download paper

  33. A Meta-Method for Portfolio Management Using Machine Learning for Adaptive Strategy Selection. (2021). Gorse, Denise ; Kisiel, Damian.
    In: Papers.
    RePEc:arx:papers:2111.05935.

    Full description at Econpapers || Download paper

  34. Bilinear Input Normalization for Neural Networks in Financial Forecasting. (2021). Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Tran, Dat Thanh.
    In: Papers.
    RePEc:arx:papers:2109.00983.

    Full description at Econpapers || Download paper

  35. Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2021). Poon, Ser-Huang ; Zohren, Stefan ; Rahimikia, Eghbal.
    In: Papers.
    RePEc:arx:papers:2108.00480.

    Full description at Econpapers || Download paper

  36. Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy.
    In: Working Papers.
    RePEc:ucr:wpaper:202025.

    Full description at Econpapers || Download paper

  37. Variance Regularization in Sequential Bayesian Optimization. (2020). Kim, Michael Jong.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:45:y:2020:i:3:p:966-992.

    Full description at Econpapers || Download paper

  38. Machine learning and credit ratings prediction in the age of fourth industrial revolution. (2020). Xiong, Deping ; Rahat, Birjees ; Mirza, Nawazish ; Li, Jing-Ping.
    In: Technological Forecasting and Social Change.
    RePEc:eee:tefoso:v:161:y:2020:i:c:s0040162520311355.

    Full description at Econpapers || Download paper

  39. A Basket Half Full: Sparse Portfolios. (2020). Seregina, Ekaterina.
    In: Papers.
    RePEc:arx:papers:2011.04278.

    Full description at Econpapers || Download paper

  40. Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy.
    In: Papers.
    RePEc:arx:papers:2011.00435.

    Full description at Econpapers || Download paper

  41. Optimizing tail risks using an importance sampling based extrapolation for heavy-tailed objectives. (2020). Murthy, Karthyek ; Deo, Anand.
    In: Papers.
    RePEc:arx:papers:2008.09818.

    Full description at Econpapers || Download paper

  42. Relative utility bounds for empirically optimal portfolios. (2020). Rokhlin, Dmitry B.
    In: Papers.
    RePEc:arx:papers:2006.05204.

    Full description at Econpapers || Download paper

  43. Company classification using machine learning. (2020). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven.
    In: Papers.
    RePEc:arx:papers:2004.01496.

    Full description at Econpapers || Download paper

  44. A Framework for Online Investment Algorithms. (2020). Gebbie, Tim ; van Zyl, Terence ; Paskaramoorthy, Andrew.
    In: Papers.
    RePEc:arx:papers:2003.13360.

    Full description at Econpapers || Download paper

  45. Computational approaches and data analytics in financial services: A literature review. (2019). Zopounidis, Constantin ; Pardalos, Panos M ; Doumpos, Michalis ; Andriosopoulos, Dimitris.
    In: Journal of the Operational Research Society.
    RePEc:taf:tjorxx:v:70:y:2019:i:10:p:1581-1599.

    Full description at Econpapers || Download paper

  46. Near-Optimal Bayesian Ambiguity Sets for Distributionally Robust Optimization. (2019). Gupta, Vishal.
    In: Management Science.
    RePEc:inm:ormnsc:v:65:y:2019:i:9:p:4242-4260.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-24 00:54:36 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.