3 papers
q-fin.ST2020
Company classification using machine learning
Sven Husmann, Antoniya Shivarova, Rick Steinert
The recent advancements in computational power and machine learning algorithms have led to vast improvements in manifold areas of research. Especially in finance, the application o…
q-fin.PM2019
Sparsity and Stability for Minimum-Variance Portfolios
Sven Husmann, Antoniya Shivarova, Rick Steinert
The popularity of modern portfolio theory has decreased among practitioners because of its unfavorable out-of-sample performance. Estimation errors tend to affect the optimal weigh…
q-fin.PM2019
Cross-validated covariance estimators for high-dimensional minimum-variance portfolios
Sven Husmann, Antoniya Shivarova, Rick Steinert
The global minimum-variance portfolio is a typical choice for investors because of its simplicity and broad applicability. Although it requires only one input, namely the covarianc…