Feature selection for portfolio optimization.
Thomas Trier BjerringOmri RossAlex WeissensteinerPublished in: Ann. Oper. Res. (2017)
Keyphrases
- portfolio optimization
- feature selection
- portfolio selection
- problems involving
- portfolio management
- factor analysis
- risk management
- stock market
- bi objective
- robust optimization
- text categorization
- optimization methods
- text classification
- machine learning
- dimensionality reduction
- support vector machine
- support vector
- stock price
- project management
- independent component analysis
- model selection
- decision support system
- stock exchange
- feature extraction
- data mining