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Building portfolios based on machine learning predictions
16 references·1 citing·29 second hop
Building portfolios based on machine learning predictions (2021)Building portfolios based on machine lear…Empirical Asset Pricing via Machine Learning (2020)Empirical Asset Pricing via M…… and the Cross-Section of Expected Returns (2015)… and the Cross-Section of Ex…A five-factor asset pricing model (2014)A five-factor asset pricing m…Presidential Address: Discount Rates (2011)Presidential Address: Discoun…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Robust Portfolio Selection Problems (2003)Robust Portfolio Selection Pr…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Improved estimation of the co…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Global Portfolio Optimization (1992)Global Portfolio OptimizationRisk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Portfolio Selection (1952)Portfolio SelectionOptimizing investment portfolios with a sequential ensemble of decision tree-based models and the FBI algorithm for efficient financial analysis (2024)Optimizing investment portfol…The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? 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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1966Equilibrium in a Capital Asset Market4,896 cited
  • 1952Portfolio Selection4,609 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2020Empirical Asset Pricing via Machine Learning2,528 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 2011Presidential Address: Discount Rates2,222 cited
  • 2015… and the Cross-Section of Expected Returns2,112 cited
  • 1992Global Portfolio Optimization1,846 cited
  • 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection1,634 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 2003

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Robust Portfolio Selection Problems
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  • 2024Optimizing investment portfolios with a sequential ensemble of decision tree-based models and the FBI algorithm for efficient financial analysis37 cited