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...
| Main Authors: | , , , |
|---|---|
| Format: | Journal article |
| Udgivet: |
Cornell University
2013
|