Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information.
Andrew PapanicolaouPublished in: SIAM J. Financial Math. (2013)
Keyphrases
- partial information
- dimension reduction
- portfolio optimization
- incomplete information
- principal component analysis
- portfolio selection
- factor analysis
- problems involving
- high dimensional
- stock market
- feature extraction
- low dimensional
- cluster analysis
- bi objective
- risk management
- high dimensional data
- stock price
- linear discriminant analysis
- feature selection
- robust optimization
- optimization methods
- feature space
- singular value decomposition
- unsupervised learning
- stock exchange
- dimensionality reduction
- high dimensionality
- dynamic programming
- preprocessing
- neural network
- multi objective
- reinforcement learning
- short term