Bayesian estimation and optimization for learning sequential regularized portfolios

Bayesian estimation and optimization for learning sequential regularized portfolios

This paper incorporates Bayesian estimation and optimization into a portfolio selection framework, particularly for high-dimensional portfolios in which the number of assets is larger than the number of observations. We leverage a constrained \ell 1 minimization approach, called the linear programmi...

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書目詳細資料
Main Authors:	Marisu, Godeliva Petrina, Pun, Chi Seng
其他作者:	School of Physical and Mathematical Sciences
格式:	Article
語言:	English
出版:	2023
主題:	Science::Mathematics High Dimensionality sequential regularization
在線閱讀:	https://hdl.handle.net/10356/169279
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Nanyang Technological University
語言:	English

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