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Optimizing investment portfolios with a sequential ensemble of decision tree-based models and the FBI algorithm for efficient financial analysis
16 references·0 citing·48 second hop
Optimizing investment portfolios with a sequential ensemble of decision tree-based models and the FBI algorithm for efficient financial analysis (2024)Optimizing investment portfolios with a s…Stock market movement forecast: A Systematic review (2020)Stock market movement forecas…Mean–variance portfolio optimization using machine learning-based stock price prediction (2020)Mean–variance portfolio optim…Portfolio formation with preselection using deep learning from long-term financial data (2019)Portfolio formation with pres…Combining Principal Component Analysis, Discrete Wavelet Transform and XGBoost to trade in the financial markets (2019)Combining Principal Component…Decision-making for financial trading: A fusion approach of machine learning and portfolio selection (2018)Decision-making for financial…Building Diversified Portfolios that Outperform Out of Sample (2016)Building Diversified Portfoli…The 1/N investment strategy is optimal under high model ambiguity (2011)The 1/N investment strategy i…A hybrid stock selection model using genetic algorithms and support vector regression (2011)A hybrid stock selection mode…Portfolio optimization problems in different risk measures using genetic algorithm (2009)Portfolio optimization proble…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Using genetic algorithms to find technical trading rules (1999)Using genetic algorithms to f…Genetic Algorithms and Investment Strategies (1994)Genetic Algorithms and Invest…When Will Mean-Variance Efficient Portfolios be Well Diversified? (1992)When Will Mean-Variance Effic…International Portfolio Diversification with Estimation Risk (1985)International Portfolio Diver…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Portfolio Selection: Efficient Diversification of Investments. (1962)An equilibrium model of the international capital market (1974)On estimating the expected return on the market (1980)Portfolio Selection and Asset Pricing Models (2000)Stock return predictability and model uncertainty (2002)60 Years of portfolio optimization: Practical challenges and current trends (2013)An Analytic Derivation of the Efficient Portfolio Frontier (1972)The arbitrage theory of capital asset pricing (1976)Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1983)Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation. 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(2007)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)The Efficient Market Hypothesis and Its Critics (2003)Forecasting stock markets using wavelet transforms and recurrent neural networks: An integrated system based on artificial bee colony algorithm (2010)Forecasting daily stock market return using dimensionality reduction (2016)Predicting the Direction of US Stock Prices Using Effective Transfer Entropy and Machine Learning Techniques (2020)Prediction of stock price direction using a hybrid GA-XGBoost algorithm with a three-stage feature engineering process (2021)Forecasting stock market for an efficient portfolio by combining XGBoost and Hilbert–Huang transform (2022)Proceedings of the International Joint Conference on Neural Networks, 2003. (2003)Twitter mood predicts the stock market (2011)Deep learning with long short-term memory networks for financial market predictions (2017)Transformer-based attention network for stock movement prediction (2022)Survey of feature selection and extraction techniques for stock market prediction (2023)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Deep Learning-based Integrated Framework for stock price movement prediction (2022)Financial applications of machine learning: A literature review (2023)Global Portfolio Optimization (1992)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Hierarchical Clustering Based Asset Allocation (2016)Ten Applications of Financial Machine Learning (2019)A Review of Two Decades of Correlations, Hierarchies, Networks and Clustering in Financial Markets (2021)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)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*13,480 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1999Using genetic algorithms to find technical trading rules855 cited
  • 1985International Portfolio Diversification with Estimation Risk672 cited
  • 2020Stock market movement forecast: A Systematic review374 cited
  • 1992When Will Mean-Variance Efficient Portfolios be Well Diversified?355 cited
  • 2020Mean–variance portfolio optimization using machine learning-based stock price prediction302 cited
  • 2016Building Diversified Portfolios that Outperform Out of Sample301 cited
  • 2019Combining Principal Component Analysis, Discrete Wavelet Transform and XGBoost to trade in the financial markets290 cited
  • 2009Portfolio optimization problems in different risk measures using genetic algorithm288 cited
  • 2018Decision-making for financial trading: A fusion approach of machine learning and portfolio selection276 cited
  • 1994Genetic Algorithms and Investment Strategies260 cited
  • 2011A hybrid stock selection model using genetic algorithms and support vector regression243 cited
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The 1/N investment strategy is optimal under high model ambiguity
221 cited
  • 2019Portfolio formation with preselection using deep learning from long-term financial data219 cited
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