A maximal predictability portfolio using dynamic factor selection strategy
Year of publication: |
2010
|
---|---|
Authors: | Konno, Hiroshi ; Takaya, Yoshihiro ; Yamamoto, Rei |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 13.2010, 3, p. 355-366
|
Subject: | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | Nichtlineare Optimierung | Nonlinear programming | Theorie | Theory |
-
Albey, Erinc, (2017)
-
Pichler, Paul, (2007)
-
The usefulness of heuristic N(E)RLS algorithms for combining forecasts
Gunter, Sevket I., (1997)
- More ...
-
A MAXIMAL PREDICTABILITY PORTFOLIO USING DYNAMIC FACTOR SELECTION STRATEGY
KONNO, HIROSHI, (2010)
-
A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT
TAKAYA, YOSHIHIRO, (2010)
-
Multi-step methods for choosing the best set of variables in regression analysis
Konno, Hiroshi, (2010)
- More ...