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• W2604166502 abstract "As the cornerstone of the modern portfolio theory, Markowitz's mean-variance optimization is a major model adopted in portfolio management. However, the estimation errors in its input parameters substantially deteriorate its performance in practice. Specifically, loss could be huge when the number of assets for investment is not much smaller than the sample size of historical data. To hasten the applicability of Markowitz's portfolio optimization to large portfolios, in this paper, we propose a new portfolio strategy via subset resampling. Through resampling subsets of the original large universe of assets, we construct the associated subset portfolios with more accurately estimated parameters without requiring additional data. By aggregating a number of constructed subset portfolios, we attain a well-diversified portfolio of all assets. To investigate its performance, we first analyze its corresponding efficient frontiers by simulation, provide analysis on the hyperparameter selection, and then empirically compare its out-of-sample performance with those of various competing strategies on diversified datasets. Experimental results corroborate that the proposed portfolio strategy has marked superiority in extensive evaluation criteria." @default.
• W2604166502 created "2017-04-14" @default.
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• W2604166502 date "2017-02-12" @default.
• W2604166502 modified "2023-10-11" @default.
• W2604166502 title "Portfolio Selection via Subset Resampling" @default.
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• W2604166502 doi "https://doi.org/10.1609/aaai.v31i1.10728" @default.
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