Estimation of the global minimum variance portfolio in high dimensions.
Taras BodnarNestor ParolyaWolfgang SchmidPublished in: Eur. J. Oper. Res. (2018)
Keyphrases
- high dimensions
- global minimum
- cost function
- simulated annealing
- energy function
- energy minimization
- high dimensional data
- high dimensional
- global optimum
- global minima
- global minimization
- high dimensional spaces
- poor quality
- energy functional
- nearest neighbor
- computer vision
- multi dimensional
- multiresolution
- pattern recognition
- step size
- search algorithm
- decision trees
- data sets