Emmanouil Platanakis, University of Bath: When Bayes-Stein Meets

Emmanouil Platanakis, University of Bath: When Bayes-Stein Meets Machine Learning (10/3/2023)

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“CDAR Risk Seminar”

The Bayes-Stein model is widely used to tackle parameter uncertainty in the classical Markowitz mean-variance portfolio optimization framework. In practice, however, it suffers from estimation errors and often fails to outperform the naive 1/N asset allocation rule. To address this, we develop a…

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