Selection of the optimal rebalancing frequency (ORF) is crucial for the pair trading algorithm
(PTA) that periodically rebalances the allocation of two assets. This study proposes a …

In this paper we describe the integration of machine learning (ML) techniques into the
framework of Markowitz's portfolio selection and show how they can help advance the robust …

The investigation has been made across various financial assets available globally to
develop a portfolio that may generate higher returns with low risk and minimal drawdowns …