Developing new portfolio strategies by aggregation
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DOI: 10.1007/s10479-019-03207-0
Abstract: We propose a method to combine N portfolio strategies by optimizing a given utility function $$U(\cdot )$$U(ยท). The method does not rely on any distributional assumption, could be easily extended to different combining functions and… read more here.
Keywords: new portfolio; portfolio strategies; method; portfolio ... See more keywords