Single-stage portfolio optimization with automated machine learning for M6-Reference-Cited by-同舟云学术

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Single-stage portfolio optimization with automated machine learning for M6

Published:2024-09 Issue: Volume: Page:
ISSN:0169-2070
Container-title:International Journal of Forecasting
language:en
Short-container-title:International Journal of Forecasting

Author:

Huang Xinyu,Newton David P.^ORCID,Platanakis Emmanouil^ORCID,Sutcliffe Charles^ORCID

Publisher

Elsevier BV

Reference31 articles.

1. Robust returns ranking prediction and portfolio optimization for M6;Ai;International Journal of Forecasting,2024

2. Machine learning vs. economic restrictions: Evidence from stock return predictability;Avramov;Management Science,2023

3. Option return predictability with machine learning and big data;Bali;The Review of Financial Studies,2023

4. On the sensitivity of mean-variance-efficient portfolios to changes in asset means: Some analytical and computational results;Best;The Review of Financial Studies,1991

5. Bond risk premiums with machine learning;Bianchi;The Review of Financial Studies,2021

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