Estimation of Covariance Matrices for Portfolio Optimization using Gaussian Processes.
Rajbir-Singh NirwanNils BertschingerPublished in: CoRR (2018)
Keyphrases
- gaussian processes
- covariance matrices
- portfolio optimization
- covariance function
- covariance matrix
- gaussian process regression
- gaussian process
- maximum likelihood
- gaussian distribution
- hyperparameters
- gaussian mixture model
- distance measure
- feature vectors
- vector space
- multi task
- gaussian mixture
- regression model
- robust optimization
- machine learning
- model selection
- objective function