Large-Scale Portfolio Construction with Regularised Regression-Based Methods

Large-Scale Portfolio Construction with Regularised Regression-Based Methods

Optimal portfolio asset allocation has played an increasingly important role in finance ever since Markowitz laid down a mathematical approach to portfolio optimisation in the 1950s. This article extends the current body of literature by examining the portfolio optimisation approach in a new light,...

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Bibliographic Details
Main Author: Tay, Jeremiah Wei Jie
Other Authors: PUN Chi Seng
Format: Final Year Project (FYP)
Language:English
Published: Nanyang Technological University 2021
Subjects:
Business::Finance::Portfolio management
Engineering::Computer science and engineering::Computing methodologies::Artificial intelligence
Online Access:https://hdl.handle.net/10356/146123

Internet

https://hdl.handle.net/10356/146123

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