Concepedia

Loss Control with Rank-one Covariance Estimate for Short-term Portfolio Optimization

Zhao‐Rong Lai, Liming Tan, Xiaotian Wu, Liangda Fang

Journal of Machine Learning Research · 2020 · 20 citations · 20 references

Concepts

References

20

Regularization and Variable Selection Via the Elastic Net

Hui Zou, Trevor Hastie · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2005 · 21K citations · Full text

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CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

William F. Sharpe · The Journal of Finance · 1964 · 17.4K citations

, , +17

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

Narasimhan Jegadeesh, Sheridan Titman · The Journal of Finance · 1993 · 11.5K citations

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Does the Stock Market Overreact?

Werner F. M. De Bondt, Richard H. Thaler · The Journal of Finance · 1985 · 7.2K citations

, , +11

Evidence of Predictable Behavior of Security Returns

Narasimhan Jegadeesh · The Journal of Finance · 1990 · 2.8K citations

, , +17