14 citations · 25 across the 8 of their papers we have counts for
3 papers · 1 filter
The bias of IID resampled backtests for rolling-window mean-variance portfolios
Andrew Paskaramoorthy, Terence van Zyl, Tim Gebbie
Backtests on historical data are the basis for practical evaluations of portfolio selection rules, but their reliability is often limited by reliance on a single sample path. This…
The efficient frontiers of mean-variance portfolio rules under distribution misspecification
Andrew Paskaramoorthy, Tim Gebbie, Terence van Zyl
Mean-variance portfolio decisions that combine prediction and optimisation have been shown to have poor empirical performance. Here, we consider the performance of various shrinkag…
A Framework for Online Investment Algorithms
Andrew Paskaramoorthy, Terence van Zyl, Tim Gebbie
The artificial segmentation of an investment management process into a workflow with silos of offline human operators can restrict silos from collectively and adaptively pursuing a…