A toolkit for exploiting contemporaneous stock correlations
Kazuhiro Hiraki, Chuanping Sun
| Year of publication: |
2022
|
|---|---|
| Authors: | Hiraki, Kazuhiro ; Sun, Chuanping |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 65.2022, p. 99-124
|
| Subject: | Portfolio optimization | LASSO | Machine learning | 1/N portfolio strategy | Stock correlation | Norm constraints | Model confidence set | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Künstliche Intelligenz | Artificial intelligence | Theorie | Theory | Aktienmarkt | Stock market | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2021.11.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013286402