Bayesian estimation and optimization for high-dimensional portfolio selection
This research incorporates Bayesian estimation and optimization into portfolio selection framework, particularly for high-dimensional portfolio in which the number of assets is strictly larger than the number of observations. We leverage a portfolio selection model, called Linear Programming Optimal...
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| Materiálatiipa: | Final Year Project (FYP) |
| Giella: | English |
| Almmustuhtton: |
Nanyang Technological University
2020
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| Liŋkkat: | https://hdl.handle.net/10356/139305 |