Big data challenges of high-dimensional continuous-time mean-variance portfolio selection and a remedy
Investors interested in the global financial market must analyze financial securities internationally. Making an optimal global investment decision involves processing a huge amount of data for a high‐dimensional portfolio. This article investigates the big data challenges of two mean‐variance optim...
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| Main Authors: | , , |
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| 其他作者: | |
| 格式: | Article |
| 語言: | English |
| 出版: |
2019
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| 主題: | |
| 在線閱讀: | https://hdl.handle.net/10356/82746 http://hdl.handle.net/10220/49087 |
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| 機構: | Nanyang Technological University |
| 語言: | English |