Single-stage portfolio optimization with automated machine learning for M6

2024/09/14 by Xinyu Huang, David P. Newton, David Newton +2
Decision Sciences · Economics, Econometrics and Finance · #Financial Markets and Investment Strategies #Monetary Policy and Economic Impact #Stock Market Forecasting Methods

paper · doi:10.1016/j.ijforecast.2024.08.004

openalex publication_date 2024/09/14 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/27

Citations

• The method of moving asymptotes—a new method for structural optimization
• Bayes-Stein Estimation for Portfolio Analysis
• Deep learning with long short-term memory networks for financial market predictions
• Reducing Estimation Risk in Mean-Variance Portfolios with Machine Learning
• Empirical Asset Pricing via Machine Learning
• The M6 forecasting competition: Bridging the gap between forecasting and investment decisions