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...
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| Format: | Final Year Project |
| Language: | English |
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Nanyang Technological University
2022
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| Online Access: | https://hdl.handle.net/10356/156929 |
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| Institution: | Nanyang Technological University |
| Language: | English |