14 citations · 25 across the 8 of their papers we have counts for
3 papers · 1 filter
AMA-K: Aggressive Multi-Temporal Allocation An Algorithm for Aggressive Online Portfolio Selection
Matthew Kruger, Terence L. van Zyl, Andrew Paskaramoorthy
Online portfolio selection is an integral componentof wealth management. The fundamental undertaking is tomaximise returns while minimising risk given investor con-straints. We aim…
ParDen: Surrogate Assisted Hyper-Parameter Optimisation for Portfolio Selection
Terence van Zyl, Matthew Woolway, Andrew Paskaramoorthy
Portfolio optimisation is a multi-objective optimisation problem (MOP), where an investor aims to optimise the conflicting criteria of maximising a portfolio's expected return whil…
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…