Regression techniques for portfolio optimisation using MOSEK

Regression is widely used by practioners across many disciplines. We reformulate the underlying optimisation problem as a second-order conic program providing the flexibility often needed in applications. Using examples from portfolio management and quantitative trading we solve regression problems...

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Bibliographic Details
Main Authors: Schmelzer, T, Hauser, R, Andersen, E, Dahl, J
Format: Journal article
Published: Cornell University 2013