Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio.

Long Zhao Deepayan Chakrabarti Kumar Muthuraman

Published in: Oper. Res. (2019)

Keyphrases

portfolio selection
portfolio management
noise level
measurement noise
decision making
random noise
neural network
error rate
bias variance
market data
measurement errors
noisy environments
estimation error
signal to noise ratio
noisy data
error bounds
decision support system