Optimal Markowitz portfolio using returns forecasted with time series and machine learning models
Damian Ślusarczyk; Robert Ślepaczuk · 2025 · Journal Of Big Data
WASTE classifies this as Failed Experiment Report · AI classification, approximate
An experimental approach did not work as intended — learn what to avoid before investing the same effort.
Abstract (excerpt)
We aim to answer whether using forecasted stock returns based on machine learning and time series models in a mean-variance portfolio framework yields better results than relying on historical returns. Nevertheless, the problem of…
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Metadata source: OpenAlex · DOI 10.1186/s40537-025-01164-z