Forecasting Tangency Portfolios and Investing in the Minimum Euclidean Distance Portfolio to Maximize Out-of-Sample Sharpe Ratios

By Nolan Alexander, William Scherer

Published 2023-07-12

Everscope rating

1296.2

Relevance to quantitative trading

8 / 10

Implementation complexity

5 / 10

Reproducibility

3 / 5

About this paper

Methodology: Tangency Portfolio Forecasting via Efficient Frontier Coefficient Decomposition. Problem types: Portfolio Optimization, Time Series Forecasting, Optimization, Dimensionality Reduction.

arXiv:2604.03948 · Paper rankings

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