Combining RMT-based filtering with time-stamped resampling for robust portfolio optimization
Finding the optimal weights for a set of ï¬nancial assets is a difï¬cult task. The mix of real world constrains and the uncertainty derived from the fact that process is based on estimates for parameters that likely to be inaccurate, often result in poor results. This paper suggests that a combinati...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Springer
2015-09-01
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| Series: | International Journal of Computational Intelligence Systems |
| Subjects: | |
| Online Access: | https://www.atlantis-press.com/article/25868636.pdf |