To boost or not to boost? XGBoost and DCC-GARCH integration for mean-variance portfolio optimization
Gun Assavasopee
This study examines whether integrating machine learning-based return forecasting and dynamic covariance estimation into a mean-variance portfolio framework produces measurable improvements over a conventional benchmark. Three strategies are constructed and evaluated over a five-year out-of-sample window from January 2...
- Office of Academic Resources, Chulalongkorn U...
- DOI: 10.58837/chula.is.2025.275