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The Kelly Growth Optimal Portfolio with Ensemble Learning
16 references·0 citing·44 second hop
The Kelly Growth Optimal Portfolio with Ensemble Learning (2019)The Kelly Growth Optimal Portfolio with E…60 Years of portfolio optimization: Practical challenges and current trends (2013)60 Years of portfolio optimiz…PAMR: Passive aggressive mean reversion strategy for portfolio selection (2012)PAMR: Passive aggressive mean…Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy? (2011)Optimal versus Naive Diversif…Portfolio Choice Problems (2010)Portfolio Choice ProblemsMarkowitz meets Talmud: A combination of sophisticated and naive diversification strategies (2010)Markowitz meets Talmud: A com…Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Luck versus Skill in the Cros…Robust performance hypothesis testing with the Sharpe ratio (2008)Robust performance hypothesis…Optimal Portfolio Choice with Parameter Uncertainty (2007)Optimal Portfolio Choice with…Algorithms for portfolio management based on the Newton method (2006)Algorithms for portfolio mana…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2002)Risk Reduction in Large Portf…Efficient algorithms for universal portfolios (2002)Efficient algorithms for univ…Computing efficient frontiers using estimated parameters (1993)Computing efficient frontiers…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Why we should not make mean log of wealth big though years to act are long (1979)Why we should not make mean l…Criteria for Choice Among Risky Ventures (1959)Criteria for Choice Among Ris…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Building Diversified Portfolios that Outperform Out of Sample (2016)Decision-making for financial trading: A fusion approach of machine learning and portfolio selection (2018)Portfolio optimization with return prediction using deep learning and machine learning (2020)Portfolio Selection: Efficient Diversification of Investments. (1962)Common risk factors in the returns on stocks and bonds (1993)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Honey, I Shrunk the Sample Covariance Matrix (2004)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Portfolio Selection (1952)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Do socially (ir)responsible investments pay? New evidence from international ESG data (2015)Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks (2017)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Investing for the Long Run when Returns Are Predictable (2000)Portfolio selection with higher moments (2010)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)Size, value, and momentum in international stock returns (2012)… and the Cross-Section of Expected Returns (2015)Choosing factors (2018)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)The Pricing of Options and Corporate Liabilities (1973)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Dynamic Mean-Variance Asset Allocation (2010)Forecasting stock market returns: The sum of the parts is more than the whole (2011)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)The Econometrics of Financial Markets (1997)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)The Econometrics of Financial Markets (2012)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)Deep learning-based feature engineering for stock price movement prediction (2018)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)THE DEMAND FOR RISKY ASSETS (1977)Effectuation, Causation, and Bricolage: A Behavioral Comparison of Emerging Theories in Entrepreneurship Research (2012)Conditional value-at-risk for general loss distributions (2002)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 2010Luck versus Skill in the Cross‐Section of Mutual Fund Returns1,781 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio959 cited
  • 2007Optimal Portfolio Choice with Parameter Uncertainty704 cited
  • 201360 Years of portfolio optimization: Practical challenges and current trends641 cited
  • 2002Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps551 cited
  • 2010Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies467 cited
  • 1959Criteria for Choice Among Risky Ventures401 cited
  • 2010Portfolio Choice Problems325 cited
  • 2011Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?287 cited
  • 1993Computing efficient frontiers using estimated parameters273 cited
  • 2006Algorithms for portfolio management based on the Newton method239 cited
  • 2012PAMR: Passive aggressive mean reversion strategy for portfolio selection235 cited
  • 2002Efficient algorithms for universal portfolios139 cited

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1979
Why we should not make mean log of wealth big though years to act are long
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