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Portfolio Optimization

k-Nearest Neighbors Supervised Portfolio

Compute the asset weights forecasted by a k-nearest neighbors supervised portfolio allocation algorithm.

References

post/portfolios/optimization/supervised/nearest-neighbors-based

assetsinteger required

The number of assets

nearestNeighborsForecastMethod'kMean' | 'kStar' | 'kEnsemble'

The forecast method used to determine the label of an inference point

nearestNeighborsinteger

The number of nearest neighbors used to determine the label of an inference point when nearestNeighborsForecastMethod is equal to 'kMean'

nearestNeighborsDistanceMetric'euclidean' | 'hassanat'

The distance metric used to compute the nearest neighbors of an inference point