An analysis of conditional mean-variance portfolio performance using hierarchical clustering
This paper studies portfolio optimization through improvements of ex-ante conditional covariance estimates. We use the cross-section of stock returns over a 52-year sample to analyze trading performance by implementing the machine learning algorithm of hierarchical clustering. We find that higher ou...
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| Format: | Article |
| Idioma: | English |
| Publicat: |
KeAi Communications Co., Ltd.
2023-11-01
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| Col·lecció: | Journal of Finance and Data Science |
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| Accés en línia: | http://www.sciencedirect.com/science/article/pii/S2405918823000284 |