Matrix evolutions : synthetic correlations and explainable machine learning for constructing robust investment portfolios
Jochen Papenbrock, Peter Schwendner, Markus Jaeger, and Stephan Krügel
| Year of publication: |
2021
|
|---|---|
| Authors: | Papenbrock, Jochen ; Schwendner, Peter ; Jaeger, Markus ; Krügel, Stephan |
| Published in: |
The journal of financial data science. - New York, NY : Pageant Media, Ltd., ISSN 2640-3951, ZDB-ID 2957666-0. - Vol. 3.2021, 2, p. 51-69
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| Subject: | Statistical methods | big data/machine learning | portfolio construction | performance measurement | Portfolio-Management | Portfolio selection | Performance-Messung | Performance measurement | Korrelation | Correlation | Künstliche Intelligenz | Artificial intelligence | Lernen | Learning | Robustes Verfahren | Robust statistics | Statistische Methode | Statistical method | Lernprozess | Learning process |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3905/jfds.2021.1.056 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012519242