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Advancing Markowitz: Asset Allocation Forest

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Outgoing claims: the papers this work cites, builds on, or argues with.

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Why do regime-switching models forecast so badly?

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Robust Performances Hypothesis Testing With the Variance

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Bagging predictors

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Mathematical optimization in classification and regression trees

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Regression tree model versus Markov regime switching: a comparison for electricity spot price modelling and forecasting

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Dividend yields and expected stock returns

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Business conditions and expected returns on stocks and bonds

inferredcites →https://doi.org/10.1016/j.jbankfin.2008.11.010openalex-extracted

The stock–bond correlation and macroeconomic conditions: One and a half centuries of evidence

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Robust covariance estimation for approximate factor models

inferredcites →https://doi.org/10.1016/j.jedc.2006.12.004openalex-extracted

Asset allocation under multivariate regime switching

inferredcites →https://doi.org/10.1016/j.jempfin.2008.03.002openalex-extracted

Robust performance hypothesis testing with the Sharpe ratio

inferredcites →https://doi.org/10.1016/j.jfineco.2004.06.007openalex-extracted

Asset pricing with liquidity risk

inferredcites →https://doi.org/10.1016/j.jimonfin.2019.03.002openalex-extracted

Stocks and bonds: Flight-to-safety for ever?

inferredcites →https://doi.org/10.1016/j.jimonfin.2021.102582openalex-extracted

The credit spread curve distribution and economic fluctuations in Japan

inferredcites →https://doi.org/10.1016/j.jinteco.2013.12.009openalex-extracted

The effects of the saving and banking glut on the U.S. economy

inferredcites →https://doi.org/10.1016/s0304-405x(02)00231-3openalex-extracted

A multivariate model of strategic asset allocation

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Random Forests

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Vast Portfolio Selection With Gross-Exposure Constraints

inferredcites →https://doi.org/10.1086/296344openalex-extracted

Economic Forces and the Stock Market

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Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly

inferredcites →https://doi.org/10.1093/rfs/15.3.751openalex-extracted

Macroeconomic Factors Do Influence Aggregate Stock Returns

inferredcites →https://doi.org/10.1093/rfs/hhaa009openalex-extracted

Empirical Asset Pricing via Machine Learning

inferredcites →https://doi.org/10.1093/rfs/hhm075openalex-extracted

Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?

inferredcites →https://doi.org/10.1108/ijoem-11-2020-1382openalex-extracted

Global commodity prices and inflation expectations

inferredcites →https://doi.org/10.1108/sef-05-2016-0131openalex-extracted

Can stock market liquidity and volatility predict business cycles?

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Consumption, Aggregate Wealth, and Expected Stock Returns

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Commodity price bubbles and macroeconomics: evidence from the Chinese agricultural markets

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Corporate debt overhang and investment in emerging economies: Firm‐level evidence

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The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis

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CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

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Why Does Stock Market Volatility Change Over Time?

inferredcites →https://doi.org/10.1111/j.1540-6261.1990.tb02428.xopenalex-extracted

Stock Returns, Expected Returns, and Real Activity

inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb02674.xopenalex-extracted

The Term Structure as a Predictor of Real Economic Activity

inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04398.xopenalex-extracted

The Cross-Section of Expected Stock Returns

inferredcites →https://doi.org/10.1111/j.1540-6288.2000.tb01416.xopenalex-extracted

The Predictive Ability of Dividend and Earnings Yields for Long‐Term Stock Returns

inferredcites →https://doi.org/10.1111/jofi.13225openalex-extracted

Model Comparison with Transaction Costs

inferredcites →https://doi.org/10.1111/rssb.12377openalex-extracted

Visualizing the Effects of Predictor Variables in Black Box Supervised Learning Models

inferredcites →https://doi.org/10.1146/annurev-economics-080217-053433openalex-extracted

Machine Learning Methods That Economists Should Know About

inferredcites →https://doi.org/10.1214/aoms/1177697196openalex-extracted

A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains

inferredcites →https://doi.org/10.1214/aos/1013203451openalex-extracted

Greedy function approximation: A gradient boosting machine.

inferredcites →https://doi.org/10.1257/aer.102.4.1692openalex-extracted

Credit Spreads and Business Cycle Fluctuations

inferredcites →https://doi.org/10.1287/opre.1080.0566openalex-extracted

Portfolio Selection With Robust Estimation

inferredcites →https://doi.org/10.1590/1808-057x202113660openalex-extracted

Does duration of competitive advantage drive long-term returns in the stock market?

inferredcites →https://doi.org/10.2139/ssrn.1318764openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.169791openalex-extracted

Consumption, Aggregate Wealth and Expected Stock Returns

inferredcites →https://doi.org/10.2139/ssrn.1938613openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.2260179openalex-extracted

Macro-Based Parametric Asset Allocation

inferredcites →https://doi.org/10.2139/ssrn.314261openalex-extracted

Macroeconomic Factors Do Influence Aggregate Stock Returns

inferredcites →https://doi.org/10.2139/ssrn.940652openalex-extracted

Asset Allocation Under Multivariate Regime Switching

inferredcites →https://doi.org/10.2307/2328636openalex-extracted

Why Does Stock Market Volatility Change Over Time?

inferredcites →https://doi.org/10.2307/2977928openalex-extracted

inferredcites →https://doi.org/10.2469/dig.v36.n3.4235openalex-extracted

Facts and Fantasies about Commodity Futures

inferredcites →https://doi.org/10.2469/dig.v37.n3.4778openalex-extracted

Corporate Yield Spreads and Bond Liquidity

inferredcites →https://doi.org/10.2469/dig.v43.n4.21openalex-extracted

The World Business Cycle and Expected Returns

inferredcites →https://doi.org/10.2469/faj.v49.n3.6.2openalex-extracted

Term Structure Forecasts Economic Growth

inferredcites →https://doi.org/10.2469/faj.v68.n3.3openalex-extracted

Regime Shifts: Implications for Dynamic Strategies (corrected)

inferredcites →https://doi.org/10.3126/ljbe.v11i1.54343openalex-extracted

Impact of Money Supply and Inflation on Economic Growth in Nepal

inferredcites →https://doi.org/10.3386/w4995openalex-extracted

By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior

inferredcites →https://doi.org/10.3386/w8566openalex-extracted

A Multivariate Model of Strategic Asset Allocation

inferredcites →https://doi.org/10.3386/w8922openalex-extracted

Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps

inferredcites →https://doi.org/10.3905/jfds.2021.1.057openalex-extracted

A Machine Learning Approach in Regime-Switching Risk Parity Portfolios

inferredcites →https://doi.org/10.3905/jfds.2022.1.101openalex-extracted

Machine Learning for Econometricians: The Readme Manual

inferredcites →https://doi.org/10.3905/jfds.2022.4.1.076openalex-extracted

Forecasting US Equity and Bond Correlation—A Machine Learning Approach

inferredcites →https://doi.org/10.3905/jpm.1993.409440openalex-extracted

The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice

inferredcites →https://doi.org/10.3905/jpm.2002.319843openalex-extracted

Decoupling

inferredcites →https://doi.org/10.3905/jpm.2014.40.3.087openalex-extracted

Exploring Macroeconomic Sensitivities: HowInvestments Respond to Different Economic Environments

inferredcites →https://doi.org/10.3905/jpm.24.2.11openalex-extracted

Valuation Ratios and the Long-Run Stock Market Outlook

inferredcites →https://doi.org/10.4018/978-1-59140-557-3.ch027openalex-extracted

Classification and Regression Trees

inferredcites →https://doi.org/10.4018/9781591405573.ch027openalex-extracted

Classification and Regression Trees

inferredcites →https://doi.org/10.4236/tel.2018.811139openalex-extracted

Is Earnings Yield a Security Return Model Anomaly?

inferredcites →https://doi.org/10.48550/arxiv.1612.08468openalex-extracted

Visualizing the Effects of Predictor Variables in Black Box Supervised Learning Models

inferredcites →https://doi.org/10.1016/0304-405x(87)90045-6openalex-snapshot

Stock Returns and the Term Structure

inferredcites →https://doi.org/10.1086/250059openalex-snapshot

By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior

inferredcites →https://doi.org/10.1111/1540-6261.00580openalex-snapshot

Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps

inferredcites →https://doi.org/10.1142/s2010139211000122openalex-snapshot

Time-Varying Sharpe Ratios and Market Timing

inferredcites →https://doi.org/10.2139/ssrn.3633110openalex-snapshot

The Macroeconomy as a Random Forest

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Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.5095345openalex-snapshot

Spanning the Achievable Stochastic Discount Factor with Asset Pricing Trees

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