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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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2019
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/82746 http://hdl.handle.net/10220/49087 |
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| Institution: | Nanyang Technological University |
| Language: | English |