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pro vyhledávání: '"Michael Pinelis"'
Autor:
Michael Pinelis, David Ruppert
Publikováno v:
Journal of Finance and Data Science, Vol 8, Iss , Pp 35-54 (2022)
We find economically and statistically significant gains when using machine learning for portfolio allocation between the market index and risk-free asset. Optimal portfolio rules for time-varying expected returns and volatility are implemented with
Externí odkaz:
https://doaj.org/article/ce89550663b5468daaf99796264690c2
Autor:
Michael Pinelis, David Ruppert
Publikováno v:
Journal of Finance and Data Science, Vol 8, Iss, Pp 35-54 (2022)
We find economically and statistically significant gains when using machine learning for portfolio allocation between the market index and risk-free asset. Optimal portfolio rules for time-varying expected returns and volatility are implemented with