Portfolio selection in a data-rich environment
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DOI: 10.1016/j.jedc.2013.08.010
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Cited by:
- Fabrizio Cipollini & Giampiero Gallo & Alessandro Palandri, 2020.
"A Dynamic Conditional Approach to Portfolio Weights Forecasting,"
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2020_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2020. "A dynamic conditional approach to portfolio weights forecasting," Papers 2004.12400, arXiv.org.
- Lin, Weidong & Taamouti, Abderrahim, 2024.
"Portfolio selection under non-gaussianity and systemic risk: A machine learning based forecasting approach,"
International Journal of Forecasting, Elsevier, vol. 40(3), pages 1179-1188.
- Weidong Lin & Abderrahim Taamouti, 2023. "Portfolio Selection Under Non-Gaussianity And Systemic Risk: A Machine Learning Based Forecasting Approach," Working Papers 202310, University of Liverpool, Department of Economics.
- Kakeu, Johnson & Bouaddi, Mohammed, 2017. "Empirical evidence of news about future prospects in the risk-pricing of oil assets," Energy Economics, Elsevier, vol. 64(C), pages 458-468.
- Gomes, Pedro & Taamouti, Abderrahim, 2016. "In search of the determinants of European asset market comovements," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 103-117.
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More about this item
Keywords
Portfolio's weights modeling; Factor analysis; Principal components; Portfolio performance; Stock returns; Fama–French factors; Economic factors; VIX;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G19 - Financial Economics - - General Financial Markets - - - Other
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