Estimation Errors

Less Is More: Ranking Information, Estimation Errors and Optimal Portfolios featured image
Ranking Information

Less Is More: Ranking Information, Estimation Errors and Optimal Portfolios

We offer a novel approach that aims at mitigating the crippling effects that parameter uncertainty and estimation errors have on the out-of-sample perforance of mean-variance …

lukas-salcher
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Portfolio Optimization

Diversifying Estimation Errors with Unsupervised Machine Learning

Unsupervised ML clustering of assets into equally weighted sub-portfolios dominates both plug-in minimum variance and equally weighted benchmarks, with optimal cluster count around …

merlin-bartel
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