Dynamic Portfolio Optimization in Ultra-High Frequency Environment.

Patryk Filipiak Piotr Lipinski

Published in: EvoApplications (1) (2017)

Keyphrases

high frequency
portfolio optimization
low frequency
subband
high resolution
wavelet transform
discrete wavelet transform
portfolio selection
high frequency components
long term
wavelet coefficients
portfolio management
computer vision
evolutionary algorithm
linear programming
risk management