Developing new portfolio strategies by aggregation

DOI10.1007/s10479-019-03207-0zbMath1470.91236OpenAlexW2933305193WikidataQ128096136 ScholiaQ128096136MaRDI QIDQ827154

Sandra Paterlini, Giovanni Bonaccolto

Publication date: 6 January 2021

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

Full work available at URL: https://doi.org/10.1007/s10479-019-03207-0

zbMATH Keywords

performance evaluationportfolio optimizationasset allocationaggregation of strategies

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

Bagged Pretested Portfolio Selection ⋮ Quantile-based portfolios: post-model-selection estimation with alternative specifications ⋮ Dynamic large financial networks \textit{via} conditional expected shortfalls

Uses Software

• OLPS

Cites Work

• A well-conditioned estimator for large-dimensional covariance matrices
• Computing efficient frontiers using estimated parameters
• Resampling methods for dependent data
• Aggregating regression procedures to improve performance
• Combining different procedures for adaptive regression
• The Stationary Bootstrap
• Universal Portfolios
• Adaptive Regression by Mixing
• Empirical properties of asset returns: stylized facts and statistical issues
• Online portfolio selection

This page was built for publication: Developing new portfolio strategies by aggregation