SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Robust mean-risk portfolio optimization using machine learning-based trade-off parameter
16 references·1 citing·28 second hop
Robust mean-risk portfolio optimization using machine learning-based trade-off parameter (2021)Robust mean-risk portfolio optimization u…Empirical Asset Pricing via Machine Learning (2020)Empirical Asset Pricing via M…Forecasting the volatility of stock price index: A hybrid model integrating LSTM with multiple GARCH-type models (2018)Forecasting the volatility of…Deep learning with long short-term memory networks for financial market predictions (2017)Deep learning with long short…Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)Deep neural networks, gradien…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…The Price of Robustness (2004)The Price of RobustnessRobust Portfolio Selection Problems (2003)Robust Portfolio Selection Pr…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Value-at-Risk-Based Risk Mana…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskRobust Convex Optimization (1998)Robust Convex OptimizationA Decision-Theoretic Generalization of On-Line Learning and an Application to Boosting (1997)A Decision-Theoretic Generali…The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Optimization of Asset and Liability Management of Banks with Minimum Possible Changes (2023)Optimization of Asset and Lia…DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Comparison of ARIMA and LSTM in Forecasting Time Series (2018)The Performance of LSTM and BiLSTM in Forecasting Time Series (2019)Generación de series de tiempo financieras sintéticas para "data augmentation" usando redes neuronales generativas adversarias (GAN) (2021)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)The Nonstochastic Multiarmed Bandit Problem (2002)Prediction, Learning, and Games (2006)Survey on speech emotion recognition: Features, classification schemes, and databases (2010)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Robust solutions of uncertain linear programs (1999)Solving two-stage robust optimization problems using a column-and-constraint generation method (2013)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
this work references cited by second hop

References

  • 1997A Decision-Theoretic Generalization of On-Line Learning and an Application to Boosting20,469 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2004The Price of Robustness4,620 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2017Deep learning with long short-term memory networks for financial market predictions2,827 cited
  • 1998Robust Convex Optimization2,606 cited
  • 2020Empirical Asset Pricing via Machine Learning2,528 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 2003Robust Portfolio Selection Problems897 cited
  • 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices834 cited
  • 2018Forecasting the volatility of stock price index: A hybrid model integrating LSTM with multiple GARCH-type models786 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2016
Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500
749 cited

Cited by

  • 2023Optimization of Asset and Liability Management of Banks with Minimum Possible Changes21 cited