Mean-variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem

DOI10.1007/s10479-022-04881-3zbMath1537.9128MaRDI QIDQ6547041

Michele Costola, Zhining Yuan, Bertrand Maillet, Xiang Zhang

Publication date: 30 May 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

machine learningtwo-fund separation theoremrobust portfoliosmean-variance efficient portfolioshigh-dimensional portfolios

Mathematics Subject Classification ID

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

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