[BOOK][B] HRP performance comparison in portfolio optimization under various codependence and distance metrics
I Barziy, M Chlebus - 2020 - wne.uw.edu.pl
Problem of portfolio optimization was formulated almost 70 years ago in the works of Harry
Markowitz. However, the studies of possible optimization methods are still being provided in …
Markowitz. However, the studies of possible optimization methods are still being provided in …
Meta-Labeling: Calibration and Position Sizing.
M Meyer, I Barziy, JF Joubert - Journal of Financial Data …, 2023 - search.ebscohost.com
Meta-labeling is a recently developed tool for determining the position size of a trade. It
involves applying a secondary model to produce an output that can be interpreted as the …
involves applying a secondary model to produce an output that can be interpreted as the …
Hierarchical Portfolio Optimization
F De Lio Pérego - 2021 - upcommons.upc.edu
… We would like to expand on the work done by Illya Barziy and Marcin Chlebus [33], about
how different co-dependence measures affect Hierarchical Risk Parity’s performance. Better …
how different co-dependence measures affect Hierarchical Risk Parity’s performance. Better …
Optimalizace large-scale portfolia
A Bako - 2023 - is.muni.cz
Anotace Cílem této diplomové práce je porovnání metod optimalizace portfolia. Jedná se
Naivní strategii, Inverse volatility portfolio, Black-Litterman model a Hierarchical risk parity …
Naivní strategii, Inverse volatility portfolio, Black-Litterman model a Hierarchical risk parity …
[PDF][PDF] Machine learning para arbitraje financiero en el mercado de renta variable colombiano
DE Ramırez, JA Segura - repository.urosario.edu.co
El desarrollo y la tecnificación de los mercados de capitales en los últimos anos ha derivado
en una competencia entre los actores del mismo por la búsqueda de oportunidades de …
en una competencia entre los actores del mismo por la búsqueda de oportunidades de …