Machine Learning for Portfolio Selection
A new performance ratio is created to address the limitations of the Sharpe ratio under non-Gaussian returns and systemic risk, showing improved portfolio selection performance in terms of profitability and risk reduction.
Featured in No. 30 on 20 Dec 2023 ·
- Released
- 11 Aug 2023
- First featured
- No. 30 · 20 Dec 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4669599
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