High-dimensional sparse portfolio selection with nonnegative constraint.
Siwei XiaYuehan YangHu YangPublished in: Appl. Math. Comput. (2023)
Keyphrases
- portfolio selection
- high dimensional
- sparse data
- multistage stochastic
- portfolio optimization
- low dimensional
- portfolio management
- robust optimization
- data points
- dimensionality reduction
- objective function
- multiple objectives
- financial markets
- tensor factorization
- high dimensional data
- linear programming
- transaction costs
- optimal portfolio
- feature space
- input space
- nonnegative matrix factorization
- kernel matrix
- sparse representation
- sparsity constraints
- kernel function
- np hard