Optimal Portfolio Choice with Estimation Risk: A Genetic Programming Approach
A new method using genetic programming to build the best mean-variance portfolio has been suggested, which significantly improves the Sharpe ratio and outperforms other machine learning techniques.
Featured in No. 31 on 3 Jan 2024 · 10 days after release · 0 citations today
- Released
- 24 Dec 2023
- First featured
- No. 31 · 3 Jan 2024
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4674858
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).