Big data challenges of high-dimensional continuous-time mean-variance portfolio selection and a remedy

• Main Authors: Chiu, Mei Choi, Pun, Chi Seng, Wong, Hoi Ying
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2019
• Subjects: Constrained ℓ1 Minimization; Science::Mathematics; Constant‐rebalancing Portfolio
• Online Access: https://hdl.handle.net/10356/82746; http://hdl.handle.net/10220/49087
• Institution: Nanyang Technological University

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...