Characteristics-based portfolio choice with leverage constraints
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Abstract
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DOI: 10.1016/j.jbankfin.2016.04.019
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Cited by:
- Gehrig, Thomas & Sögner, Leopold & Westerkamp, Arne, 2018. "Making Parametric Portfolio Policies Work," CEPR Discussion Papers 13193, C.E.P.R. Discussion Papers.
- Tony Guida & Guillaume Coqueret, 2019. "Ensemble Learning Applied to Quant Equity: Gradient Boosting in a Multifactor Framework," Post-Print hal-02311104, HAL.
- Guillaume Coqueret & Tony Guida, 2020. "Training trees on tails with applications to portfolio choice," Annals of Operations Research, Springer, vol. 288(1), pages 181-221, May.
- Guillaume Coqueret & Tony Guida, 2020. "Training trees on tails with applications to portfolio choice," Post-Print hal-04144665, HAL.
- Eric Andr'e & Guillaume Coqueret, 2020. "Dirichlet policies for reinforced factor portfolios," Papers 2011.05381, arXiv.org, revised Jun 2021.
- Guillaume Coqueret, 2022. "Characteristics-driven returns in equilibrium," Papers 2203.07865, arXiv.org.
- Simon, Frederik & Weibels, Sebastian & Zimmermann, Tom, 2023. "Deep parametric portfolio policies," CFR Working Papers 23-01, University of Cologne, Centre for Financial Research (CFR).
- Guillaume Chevalier & Guillaume Coqueret & Thomas Raffinot, 2022. "Supervised portfolios," Post-Print hal-04144588, HAL.
- Mengting Li & Qifa Xu & Cuixia Jiang & Qinna Zhao, 2023. "The role of tail network topological characteristic in portfolio selection: A TNA‐PMC model," International Review of Finance, International Review of Finance Ltd., vol. 23(1), pages 37-57, March.
- Jiang, Chonghui & Du, Jiangze & An, Yunbi & Zhang, Jinqing, 2021. "Factor tracking: A new smart beta strategy that outperforms naïve diversification," Economic Modelling, Elsevier, vol. 96(C), pages 396-408.
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Keywords
Portfolio choice; Leverage constraint; Characteristics-based investing;All these keywords.
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