2 papers
q-fin.CP2023
Maximizing Portfolio Predictability with Machine Learning
Michael Pinelis, David Ruppert
We construct the maximally predictable portfolio (MPP) of stocks using machine learning. Solving for the optimal constrained weights in the multi-asset MPP gives portfolios with a…
q-fin.PM2020
Machine Learning Portfolio Allocation
Michael Pinelis, David Ruppert
We find economically and statistically significant gains when using machine learning for portfolio allocation between the market index and risk-free asset. Optimal portfolio rules…