Portfolio selection under non-gaussianity and systemic risk: A machine learning based forecasting approach-Reference-Cited by-同舟云学术

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Portfolio selection under non-gaussianity and systemic risk: A machine learning based forecasting approach

Published:2023-11 Issue: Volume: Page:
ISSN:0169-2070
Container-title:International Journal of Forecasting
language:en
Short-container-title:International Journal of Forecasting

Author:

Lin Weidong^ORCID,Taamouti Abderrahim^ORCID

Publisher

Elsevier BV

Subject

Business and International Management

Reference44 articles.

1. Deep learning for forecasting stock returns in the cross-section;Abe,2018

2. Measuring systemic risk;Acharya;The Review of Financial Studies,2017

3. CoVaR;Adrian;American Economic Review,2016

4. Deep learning, predictability, and optimal portfolio returns;Babiak,2020

5. Portfolio selection in the presence of systemic risk;Biglova;Journal of Asset Management,2014

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