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q-fin.PM2020★ 1 cited
Deeply Equal-Weighted Subset Portfolios
Sang Il Lee
The high sensitivity of optimized portfolios to estimation errors has prevented their practical application. To mitigate this sensitivity, we propose a new portfolio model called a…
q-fin.PM2017
Threshold-Based Portfolio: The Role of the Threshold and Its Applications
Sang Il Lee, Seong Joon Yoo
This paper aims at developing a new method by which to build a data-driven portfolio featuring a target risk-return. We first present a comparative study of recurrent neural networ…