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Schrödinger Risk Diversification Portfolio
However, since it is difficult to estimate the expected return and the out-of-sample performance of the mean-variance portfolio is poor, risk-based portfolio construction methods focusing only on risk have been proposed, and are attracting attention mainly in practice.
TPLVM: Portfolio Construction by Student's $t$-process Latent Variable Model
By comparing these portfolios, we confirm the proposed portfolio outperforms that of the existing Gaussian process latent variable model.
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