Bayesian estimation and optimization for high-dimensional portfolio selection
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...
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| 格式: | Final Year Project |
| 語言: | English |
| 出版: |
Nanyang Technological University
2020
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| 主題: | |
| 在線閱讀: | https://hdl.handle.net/10356/139305 |
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| 機構: | Nanyang Technological University |
| 語言: | English |