BOOSTING-BASED FRAMEWORK FOR PORTFOLIO STRATEGY DISCOVERY AND OPTIMIZATION

DOI10.1142/S1793005706000506zbMath1202.91296OpenAlexW2035823308MaRDI QIDQ3421880

Valeriy V. Gavrishchaka

Publication date: 8 February 2007

Published in: New Mathematics and Natural Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s1793005706000506

zbMATH Keywords

portfolio optimizationtrading strategiesboostingensemble learning

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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• A decision-theoretic generalization of on-line learning and an application to boosting
• Boosting-Based Frameworks in Financial Modeling: Application to Symbolic Volatility Forecasting
• A theory of the learnable
• Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition
• Making a Case for Robust Optimization Models
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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