Ensembles of Portfolio Rules

68 Pages Posted: 23 Sep 2022 Last revised: 5 Jul 2024

See all articles by Federico Nardari

Federico Nardari

University of Melbourne - Department of Finance

Rainer Alexander Schüssler

University of Rostock - Department of Economics; University of Konstanz

Date Written: June 29, 2024

Abstract

We propose an ensemble framework for combining heterogeneous portfolio rules that cannot be accommodated by previously proposed combination methods. Using our approach, researchers and investors can take advantage of established and ongoing advances in portfolio choice by diversifying the idiosyncratic risks of alternative rules. Our ensemble approach maximizes the utility jointly generated by the candidate portfolio rules, while allowing learning about their time-varying relative performance. Based on out-of-sample evaluations of over forty years, we document substantial utility gains in extensive applications to cross-sections of stocks and to market timing.

Keywords: Portfolio choice, Combination of estimators, Ensemble learning, Estimation risk JEL classifications: G11, C10

JEL Classification: G11, C10

Suggested Citation

Nardari, Federico and Schüssler, Rainer Alexander, Ensembles of Portfolio Rules (June 29, 2024). Available at SSRN: https://ssrn.com/abstract=4217088 or http://dx.doi.org/10.2139/ssrn.4217088

Federico Nardari

University of Melbourne - Department of Finance ( email )

Faculty of Economics and Commerce
Parkville, Victoria 3010 3010
Australia

Rainer Alexander Schüssler (Contact Author)

University of Rostock - Department of Economics ( email )

Ulmenstr. 69
Rostock, 18057
Germany

University of Konstanz ( email )

Fach D-144
Universitätsstraße 10
Konstanz, D-78457
Germany

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