A machine learning efficient frontier

DOI10.1016/j.orl.2020.07.016zbMath1478.91168OpenAlexW3023802723MaRDI QIDQ2661535

Zachary Feinstein, Brian Clark, Majeed Simaan

Publication date: 7 April 2021

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2020.07.016

zbMATH Keywords

machine learningportfolio theoryestimation risktactical asset allocation

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Portfolio theory (91G10)

Related Items (1)

Transaction activity and bitcoin realized volatility

Uses Software

• glmnet
• quantmod

Cites Work

• Conditional value-at-risk in portfolio optimization: coherent but fragile
• Regularization and Variable Selection Via the Elastic Net

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