Robust portfolio optimization with covariates

Robust portfolio optimization with covariates

In this project, we propose ARIMA regression as a methodology for the inclusion of covariate information into a robust CVaR minimization portfolio as a method to improve the performance of the portfolio optimization model. This methodology is compared with a robust CVaR minimization portfolio and an...

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書目詳細資料
主要作者:	Heng, Darren Kai Hong
其他作者:	Yan Zhenzhen
格式:	Final Year Project
語言:	English
出版:	Nanyang Technological University 2022
主題:	Science::Mathematics::Applied mathematics::Optimization
在線閱讀:	https://hdl.handle.net/10356/156906
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!

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