Two-Stage Portfolio Optimization Integrating Optimal Sharp Ratio Measure and Ensemble Learning.
Zhongbao ZhouZhengyang SongTiantian RenLean YuPublished in: IEEE Access (2023)
Keyphrases
- ensemble learning
- portfolio optimization
- generalization ability
- ensemble methods
- portfolio selection
- optimal solution
- base classifiers
- similarity measure
- problems involving
- risk management
- feature selection
- factor analysis
- stock market
- learning algorithm
- random forest
- support vector machine
- bi objective
- robust optimization
- multi objective