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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.CP2020
Hyperparameter Optimization for Forecasting Stock Returns
Sang Il Lee
In recent years, hyperparameter optimization (HPO) has become an increasingly important issue in the field of machine learning for the development of more accurate forecasting mode…