Portfolio optimization using local linear regression ensembles in RapidMiner.
Gabor NagyGergo BartaTamás HenkPublished in: CoRR (2015)
Keyphrases
- portfolio optimization
- portfolio selection
- factor analysis
- problems involving
- portfolio management
- risk management
- robust optimization
- stock market
- discriminant analysis
- bi objective
- optimization methods
- stock exchange
- low dimensional
- stock price
- model selection
- sharpe ratio
- decision making
- efficient solutions
- statistically significant
- decision support system
- dimensionality reduction