Portfolio diversification using subspace factorizations.
Ruairí de FréinKonstantinos DrakakisScott T. RickardPublished in: CISS (2008)
Keyphrases
- low dimensional
- tabu search
- principal component analysis
- high dimensional
- subspace learning
- feature space
- lower dimensional
- subspace clustering
- dimensionality reduction
- decision making
- high dimensional data
- input data
- portfolio management
- clustering high dimensional data
- kernel based nonlinear
- linear subspace
- subspace analysis
- independent component analysis
- search strategies
- transaction costs
- portfolio optimization
- market data
- search result diversification