Factor-based Portfolio Optimization with Forward Returns
The research applies a factor model and machine learning to include forward-looking information in portfolio optimization, which reduces idiosyncratic noise and enhances out-of-sample performance.
Featured in No. 7 on 12 Jul 2023 · on release day
- Released
- 12 Jul 2023
- First featured
- No. 7 · 12 Jul 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 23
- Identifier
- RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001623
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).