2 papers
econ.EM2025
Time Series Embedding and Combination of Forecasts: A Reinforcement Learning Approach
Marcelo C. Medeiros, Jeronymo M. Pinro
The forecasting combination puzzle is a well-known phenomenon in forecasting literature, stressing the challenge of outperforming the simple average when aggregating forecasts from…
stat.ME2024
Cost-aware Portfolios in a Large Universe of Assets
Qingliang Fan, Marcelo C. Medeiros, Hanming Yang +1
This paper considers the finite horizon portfolio rebalancing problem in terms of mean-variance optimization, where decisions are made based on current information on asset returns…