Jiang, Zhenlong; Ji, Ran; Chang, Kuo-Chu - In: Journal of Risk and Financial Management 13 (2020) 7, pp. 1-20
We propose a portfolio rebalance framework that integrates machine learning models into the mean-risk portfolios in … according to market trend movements predicted by machine learning models. We employ Gini's Mean Difference (GMD) to specify the … machine learning models to predict market movements. Using a rolling-horizon approach, we conduct a series of computational …
