Hierarchical Clustering as a Dimension Reduction Technique for Markowitz Portfolio Optimization
Optimal portfolio selection is a common and important application of an optimization problem. Practical applications of an existing optimal portfolio selection methods is often difficult due to high data dimensionality (as a consequence of the large number of securities available for investment). In...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Yaroslavl State University
2020-03-01
|
| Series: | Моделирование и анализ информационных систем |
| Subjects: | |
| Online Access: | https://www.mais-journal.ru/jour/article/view/1288 |