Portfolio construction with optimal denoising matrix in L1 minimization approach

• Main Author: Wong, Jing Lun
• 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/10356/146124
• Institution: Nanyang Technological University

In this paper, we investigate the mean-variance (MV) portfolio problems that is constructed from the L1 minimization approach that can estimate the eff ective parameters of the MV strategies. Speci cally, we will study the properties of models constructed from the Dantzig Selector (DS) such as the o...