High-dimensional data analysis with constraints
Traditional Markowitz portfolio is very sensitive to errors in estimated input for a high dimensional dataset. This problem inspired us to connect the high dimensional portfolio selection problem to a constrained lasso problem to deal with the input uncertainty. In this paper, we developed a new alg...
Saved in:
| 主要作者: | |
|---|---|
| 其他作者: | |
| 格式: | Final Year Project |
| 語言: | English |
| 出版: |
Nanyang Technological University
2022
|
| 主題: | |
| 在線閱讀: | https://hdl.handle.net/10356/156929 |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|