Bayesian estimation and optimization for learning sequential regularized portfolios

• المؤلفون الرئيسيون: Marisu, Godeliva Petrina, Pun, Chi Seng
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2023
• الموضوعات: Science::Mathematics; High Dimensionality; sequential regularization
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/169279
• المؤسسة: Nanyang Technological University

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...