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...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
Nanyang Technological University
2020
|
| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/139305 |