Optimal Markowitz portfolio using returns forecasted with time series and machine learning models
Abstract We aim to answer whether using forecasted stock returns based on machine learning and time series models in a mean-variance portfolio framework yields better results than relying on historical returns. Nevertheless, the problem of efficient stock selection has been tested for more than 50 y...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2025-05-01
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| Series: | Journal of Big Data |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s40537-025-01164-z |
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