Two-Stage Portfolio Optimization Integrating Optimal Sharp Ratio Measure and Ensemble Learning
Author:
Affiliation:
1. School of Business Administration, Hunan University, Changsha, China
2. Business School, Sichuan University, Chengdu, China
Funder
Key Program of NSFC-FRQSC Joint Project
Hunan Key Laboratory
Hunan Provincial Social Science Foundation
Key Project of Scientific Research of Hunan Provincial Education Department
Publisher
Institute of Electrical and Electronics Engineers (IEEE)
Subject
General Engineering,General Materials Science,General Computer Science,Electrical and Electronic Engineering
Link
http://xplorestaging.ieee.org/ielx7/6287639/10005208/09999184.pdf?arnumber=9999184
Reference46 articles.
1. Forecasting stock market crisis events using deep and statistical machine learning techniques
2. Optimal Versus Naive Diversification: How Inefficient is the 1/NPortfolio Strategy?
3. Support vector machine with adaptive parameters in financial time series forecasting
4. Credit scoring based on tree-enhanced gradient boosting decision trees
5. An improved Stacking framework for stock index prediction by leveraging tree-based ensemble models and deep learning algorithms
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