Bayesian estimation and optimization for learning sequential regularized portfolios

This paper incorporates Bayesian estimation and optimization into a portfolio selection framework, particularly for high-dimensional portfolios in which the number of assets is larger than the number of observations. We leverage a constrained \ell 1 minimization approach, called the linear programmi...

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Bibliographic Details
Main Authors: Marisu, Godeliva Petrina, Pun, Chi Seng
Other Authors: School of Physical and Mathematical Sciences
Format: Journal Article
Language:English
Published: 2023
Subjects:
Online Access:https://hdl.handle.net/10356/169279