Dynamic portfolio choices by simulation-and-regression: Revisiting the issue of value function vs portfolio weight recursions.
Michel DenaultJean-Guy SimonatoPublished in: Comput. Oper. Res. (2017)
Keyphrases
- portfolio selection
- portfolio management
- decision making
- data sets
- simulation model
- mathematical model
- regression model
- linear regression
- decision trees
- transaction costs
- portfolio optimization
- database
- market data
- model selection
- case study
- regression problems
- neural network
- ridge regression
- investment decisions
- regression function