相关参考文献
注意:仅列出部分参考文献,下载原文获取全部文献信息。Robust optimization of forecast combinations
Thierry Post et al.
INTERNATIONAL JOURNAL OF FORECASTING (2019)
Optimal selection of expert forecasts with integer programming
Dmytro Matsypura et al.
OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE (2018)
The M4 Competition: Results, findings, conclusion and way forward
Spyros Makridakis et al.
INTERNATIONAL JOURNAL OF FORECASTING (2018)
Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks
Olivier Ledoit et al.
REVIEW OF FINANCIAL STUDIES (2017)
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data
Jianqing Fan et al.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2016)
WEIGHTED-AVERAGE LEAST SQUARES (WALS): A SURVEY
Jan R. Magnus et al.
JOURNAL OF ECONOMIC SURVEYS (2016)
The forecast combination puzzle: A simple theoretical explanation
Gerda Claeskens et al.
INTERNATIONAL JOURNAL OF FORECASTING (2016)
Vast Portfolio Selection With Gross-Exposure Constraints
Jianqing Fan et al.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2012)
A Simple Explanation of the Forecast Combination Puzzle
Jeremy Smith et al.
OXFORD BULLETIN OF ECONOMICS AND STATISTICS (2009)
Risk reduction in large portfolios: Why imposing the wrong constraints helps
R Jagannathan et al.
JOURNAL OF FINANCE (2003)