Large-Scale Portfolio Construction with Regularised Regression-Based Methods

• Main Author: Tay, Jeremiah Wei Jie
• Other Authors: PUN Chi Seng
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2021
• Subjects: Business::Finance::Portfolio management; Engineering::Computer science and engineering::Computing methodologies::Artificial intelligence
• Online Access: https://hdl.handle.net/10356/146123
• Institution: Nanyang Technological University

Optimal portfolio asset allocation has played an increasingly important role in finance ever since Markowitz laid down a mathematical approach to portfolio optimisation in the 1950s. This article extends the current body of literature by examining the portfolio optimisation approach in a new light,...