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GAGGERO , Giacomo

Last name: GAGGERO

First name: Giacomo

2024 (v1)

Publication

Metadata-only

Portfolio optimization and risk management through Hierarchical Risk Parity and Logic Learning Machine: a case study applied to the Turkish stock market

Gaggero, Giacomo Giribone, Pier Giuseppe Muselli, Marco

This study explores an innovative approach to portfolio optimization, bridging traditional Modern Portfolio Theory (MPT) with advanced Machine Learning techniques. We start by recognizing the significance of Markowitz's model in MPT and quickly proceed to focus on the Hierarchical Risk Parity (HRP) method. HRP overcomes some of the limitations...

Uploaded on: July 3, 2024