Subsampling-based MVO weights estimation

[chogui]

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4884029

Also: https://blog.thinknewfound.com/2018/07/machine-learning-subset-resampling-and-portfolio-optimization/

Resampling dates or returns (cf. meboot) could also be promising

[microprediction]

Thanks for the ref.

[microprediction]

Btw there are cov matrices from the crowd contest here: https://www.monteprediction.com/api

[microprediction]

https://www.linkedin.com/feed/update/urn:li:activity:7227675673081847808/

[chogui]

what's the "as of" date for the community cov? The latest date it's available is 2024_07_29 but when was it posted?

[microprediction]

I should check my scripts but in theory it should be available Sunday night for the coming week. Perhaps I am currently quarantining it.

[microprediction]

The submission deadline is midnight UTC Sunday.

[chogui]

Noted, thanks