Hierarchical Clustering as a Dimension Reduction Technique in the Markowitz Portfolio Optimization Problem.
Anatoliy Y. PoletaevElena M. SpiridonovaPublished in: Autom. Control. Comput. Sci. (2021)
Keyphrases
- dimension reduction
- hierarchical clustering
- portfolio optimization
- portfolio selection
- factor analysis
- cluster analysis
- clustering method
- principal component analysis
- high dimensional problems
- feature extraction
- low dimensional
- partitional clustering
- high dimensional
- singular value decomposition
- linear discriminant analysis
- manifold learning
- clustering algorithm
- robust optimization
- feature space
- high dimensionality
- discriminant analysis
- k means
- single link
- feature selection
- high dimensional data
- unsupervised learning
- preprocessing
- agglomerative clustering
- machine learning
- single linkage
- similarity search
- clustering framework
- dimensionality reduction
- image processing
- hierarchical clustering algorithms