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microprediction / precise

World beating online covariance and portfolio construction.
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Subsampling-based MVO weights estimation #37

Open chogui opened 4 months ago

chogui commented 4 months ago

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4884029

Also: https://blog.thinknewfound.com/2018/07/machine-learning-subset-resampling-and-portfolio-optimization/

Resampling dates or returns (cf. meboot) could also be promising

microprediction commented 3 months ago

Thanks for the ref.

microprediction commented 3 months ago

Btw there are cov matrices from the crowd contest here: https://www.monteprediction.com/api

microprediction commented 3 months ago

https://www.linkedin.com/feed/update/urn:li:activity:7227675673081847808/

chogui commented 3 months ago

what's the "as of" date for the community cov? The latest date it's available is 2024_07_29 but when was it posted?

microprediction commented 3 months ago

I should check my scripts but in theory it should be available Sunday night for the coming week. Perhaps I am currently quarantining it.

microprediction commented 3 months ago

The submission deadline is midnight UTC Sunday.

chogui commented 3 months ago

Noted, thanks