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1. Machine Learning Methods in Portfolio Replication

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Open Access

Author:: You, Cheng
Title:: Machine Learning Methods in Portfolio Replication
Graduate Program:: Statistics
Keywords:: machine learning
portfolio replication
LASSO
LARS
trading strategies
hidden Markov model
hierarchical modelling
File:: Download ChengYou-MasterThesis-Final.pdf
Committee Members:: Jason Ryder Morton, Thesis Advisor/Co-Advisor