Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification
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- Illya Barziy & Marcin Chlebus, 2020. "HRP performance comparison in portfolio optimization under various codependence and distance metrics," Working Papers 2020-21, Faculty of Economic Sciences, University of Warsaw.
- Muhinyuza, Stanislas & Bodnar, Taras & Lindholm, Mathias, 2020. "A test on the location of the tangency portfolio on the set of feasible portfolios," Applied Mathematics and Computation, Elsevier, vol. 386(C).
- Sven Husmann & Antoniya Shivarova & Rick Steinert, 2020. "Company classification using machine learning," Papers 2004.01496, arXiv.org, revised May 2020.
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More about this item
Keywords
machine learning for portfolio; covariance misspecification; superior predictive ability; NIFTY;All these keywords.
JEL classification:
- C - Mathematical and Quantitative Methods
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
- G3 - Financial Economics - - Corporate Finance and Governance
- M2 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics
- M4 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting
- K2 - Law and Economics - - Regulation and Business Law
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