A semiparametric graphical modelling approach for large-scale equity selection

DOI10.1080/14697688.2015.1101149zbMath1468.91150OpenAlexW2195859303WikidataQ38895606 ScholiaQ38895606MaRDI QIDQ5001189

Han Liu, John M. Mulvey, Tianqi Zhao

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://europepmc.org/articles/pmc5354361

zbMATH Keywords

machine learningsemiparametric methodsgraphical modelelliptical copulastability selectionMarkowitz strategyequity selectionrebalancing gains

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Financial markets (91G15)

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Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm, Identifiability and estimation of meta-elliptical copula generators

Uses Software

• LOQO
• huge

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