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...

Повний опис

Бібліографічні деталі
Автори: Marisu, Godeliva Petrina, Pun, Chi Seng
Інші автори: School of Physical and Mathematical Sciences
Формат: Journal Article
Мова:English
Опубліковано: 2023
Предмети:
Онлайн доступ:https://hdl.handle.net/10356/169279