Title An experimental study on diversification in portfolio optimization
Authors Martínez-Nieto L. , FERNÁNDEZ NAVARRO, FRANCISCO DE ASÍS, CARBONERO RUZ, MARIANO, MONTERO ROMERO, Mª TERESA
External publication No
Means Expert Sys Appl
Scope Article
Nature Científica
JCR Quartile 1
SJR Quartile 1
JCR Impact 8.66500
Web https://www.scopus.com/inward/record.uri?eid=2-s2.0-85106308418&doi=10.1016%2fj.eswa.2021.115203&partnerID=40&md5=c791aa830769e2467437769cf0c05ca0
Publication date 01/01/2021
ISI 000663582700009
Scopus Id 2-s2.0-85106308418
DOI 10.1016/j.eswa.2021.115203
Abstract New diversification strategies, along with other naive strategies as 1/N portfolios, have been proposed in the literature as a method for overcoming concentration limitations of the mean–variance model. However, it is not clear whether these strategies ou
Keywords 1/N portfolio; Diversification strategies; Hyper-parameter optimization; Mean–variance portfolio; Out-of-sample performance
Universidad Loyola members

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