Bayesian estimation and optimization for high-dimensional portfolio selection

• Main Author: Marisu, Godeliva Petrina
• Other Authors: PUN Chi Seng
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2020
• Subjects: Science::Mathematics::Statistics
• Online Access: https://hdl.handle.net/10356/139305
• Institution: 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...