Bayesian estimation and optimization for high-dimensional portfolio selection

• المؤلف الرئيسي: Marisu, Godeliva Petrina
• مؤلفون آخرون: PUN Chi Seng
• التنسيق: Final Year Project
• اللغة: English
• منشور في: Nanyang Technological University 2020
• الموضوعات: Science::Mathematics::Statistics
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/139305
• المؤسسة: Nanyang Technological University

This research incorporates Bayesian estimation and optimization into portfolio selection framework, particularly for high-dimensional portfolio in which the number of assets is strictly larger than the number of observations. We leverage a portfolio selection model, called Linear Programming Optimal...