Showing 1 - 2 of 2
Persistent link: https://www.econbiz.de/10013365673
We find economically and statistically significant gains when using machine learning for portfolio allocation between the market index and risk-free asset. Optimal portfolio rules for time-varying expected returns and volatility are implemented with two Random Forest models. One model is...
Persistent link: https://www.econbiz.de/10014433682