@article{ART003161241},
author={Xiaoying Wu and Taihun Lim and Hyoung-Goo Kang},
title={Regression approach to Portfolio Optimization},
journal={Asset Management Review},
issn={2288-6672},
year={2024},
volume={12},
number={2},
pages={21-36}
TY - JOUR
AU - Xiaoying Wu
AU - Taihun Lim
AU - Hyoung-Goo Kang
TI - Regression approach to Portfolio Optimization
JO - Asset Management Review
PY - 2024
VL - 12
IS - 2
PB - Institute of Management Research, SungKyunKwan University
SP - 21
EP - 36
SN - 2288-6672
AB - This study introduces a convenient approach to portfolio optimization by integrating regression and machine learning techniques into the traditional Mean-Variance Optimization (MVO) framework. We establish a connection between MVO and Ordinary Least Squares (OLS) regression, redefining asset allocation through a regression perspective. The methodology includes generating target returns for regression analysis and applying machine learning algorithms for enhanced portfolio management. This approach not only reinterprets portfolio optimization but also showcases the potential of predictive models in dynamic financial markets.
KW - Mean-Variance Optimization (MVO);Regression;Predictability;Machine Learning
DO -
UR -
ER -
Xiaoying Wu, Taihun Lim and Hyoung-Goo Kang. (2024). Regression approach to Portfolio Optimization. Asset Management Review, 12(2), 21-36.
Xiaoying Wu, Taihun Lim and Hyoung-Goo Kang. 2024, "Regression approach to Portfolio Optimization", Asset Management Review, vol.12, no.2 pp.21-36.
Xiaoying Wu, Taihun Lim, Hyoung-Goo Kang "Regression approach to Portfolio Optimization" Asset Management Review 12.2 pp.21-36 (2024) : 21.
Xiaoying Wu, Taihun Lim, Hyoung-Goo Kang. Regression approach to Portfolio Optimization. 2024; 12(2), 21-36.
Xiaoying Wu, Taihun Lim and Hyoung-Goo Kang. "Regression approach to Portfolio Optimization" Asset Management Review 12, no.2 (2024) : 21-36.
Xiaoying Wu; Taihun Lim; Hyoung-Goo Kang. Regression approach to Portfolio Optimization. Asset Management Review, 12(2), 21-36.
Xiaoying Wu; Taihun Lim; Hyoung-Goo Kang. Regression approach to Portfolio Optimization. Asset Management Review. 2024; 12(2) 21-36.
Xiaoying Wu, Taihun Lim, Hyoung-Goo Kang. Regression approach to Portfolio Optimization. 2024; 12(2), 21-36.
Xiaoying Wu, Taihun Lim and Hyoung-Goo Kang. "Regression approach to Portfolio Optimization" Asset Management Review 12, no.2 (2024) : 21-36.
