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What algorithms from machine learning, supervised learning or unsupervised learning have been recently used for asset allocation models as alternatives to the Markowitz mean-variance optimization model? So far I only know of

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  • $\begingroup$ He wrote a book that's pretty well done. Prob a good place to start. $\endgroup$ – Chris Nov 23 '19 at 4:54
  • $\begingroup$ The references cited in the paper can be used to find related works in that topic I think. $\endgroup$ – QuantStats Nov 23 '19 at 5:07
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    $\begingroup$ not really. clustering is an unsupervised learning model, whereas random forests and support vector machines are supervised learning algorithms. even though i know SVMs are popular in industry, there are no well-known publications on how to apply them to portfolio construction $\endgroup$ – develarist Nov 23 '19 at 10:44

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