This paper proposes a clustering asset allocation scheme which provides better risk-adjusted portfolio performance than those obtained from traditional asset allocation approaches such as the equal weight strategy and the Markowitz minimum variance allocation. The clustering criterion used,...

Forecasting large numbers of time series is a costly and time-consuming exercise. Before forecasting a large number of series that are logically connected in some way, the authors can first cluster them into groups of similar series. In this paper they investigate forecasting the series in each...