Large-Scale Portfolio Construction with Regularised Regression-Based Methods

• 主要作者: Tay, Jeremiah Wei Jie
• 其他作者: PUN Chi Seng
• 格式: Final Year Project
• 語言: English
• 出版: Nanyang Technological University 2021
• 主題: Business::Finance::Portfolio management; Engineering::Computer science and engineering::Computing methodologies::Artificial intelligence
• 在線閱讀: https://hdl.handle.net/10356/146123
• 機構: 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,...