Mean-variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem.
Michele CostolaBertrand MailletZhining YuanXiang ZhangPublished in: Ann. Oper. Res. (2024)
Keyphrases
- portfolio selection
- machine learning
- information extraction
- portfolio optimization
- machine learning methods
- decision trees
- supervised learning
- active learning
- efficient solutions
- computationally expensive
- machine learning algorithms
- knowledge acquisition
- data sets
- feature selection
- artificial intelligence
- neural network
- evolutionary algorithm
- pattern recognition
- search algorithm
- text mining
- optimal solution
- computationally efficient
- learning systems
- computer vision
- learning tasks
- learning algorithm
- data mining