A Unified Framework for Fast Large-Scale Portfolio Optimization

A Unified Framework for Fast Large-Scale Portfolio Optimization

We introduce a unified framework for rapid, large-scale portfolio optimization that incorporates both shrinkage and regularization techniques. This framework addresses multiple objectives, including minimum variance, mean-variance, and the maximum Sharpe ratio, and also adapts to various portfolio w...

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Bibliographic Details
Main Authors: Weichuan Deng, Paweł Polak, Abolfazl Safikhani, Ronakdilip Shah
Format: Article
Language:English
Published: Taylor & Francis Group 2024-12-01
Series:Data Science in Science
Subjects:
AP-trees
IPCA
and regularization
RP-PCA
mean and covariance matrix
shrinkage estimators
Online Access:https://www.tandfonline.com/doi/10.1080/26941899.2023.2295539

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