Large-Scale Portfolio Construction with Regularised Regression-Based Methods

• المؤلف الرئيسي: Tay, Jeremiah Wei Jie
• مؤلفون آخرون: PUN Chi Seng
• التنسيق: Final Year Project
• اللغة: English
• منشور في: Nanyang Technological University 2021
• الموضوعات: Business::Finance::Portfolio management; Engineering::Computer science and engineering::Computing methodologies::Artificial intelligence
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/146123
• المؤسسة: 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,...