Cross validation based transfer learning for cross-sectional non-linear shrinkage: A data-driven approach in portfolio optimization-Reference-Cited by-同舟云学术

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Cross validation based transfer learning for cross-sectional non-linear shrinkage: A data-driven approach in portfolio optimization

Published:2024-10 Issue:2 Volume:318 Page:670-685
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Mörstedt Torsten^ORCID,Lutz Bernhard^ORCID,Neumann Dirk

Publisher

Elsevier BV

Reference60 articles.

1. Leverage aversion and risk parity;Asness;Financial Analysts Journal,2012

2. Determining the number of factors in approximate factor models;Bai;Econometrica,2002

3. On the use of cross-validation for time series predictor evaluation;Bergmeir;Information Sciences,2012

4. Random search for hyper-parameter optimization;Bergstra;Journal of Machine Learning Research,2012

5. Estimation of the global minimum variance portfolio in high dimensions;Bodnar;European Journal of Operational Research,2018

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1. Research on Diversification of College Students’ Employment Strategies and Optimization of College Management System;Applied Mathematics and Nonlinear Sciences;2024-01-01

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