Directional Variance Adjustment: a novel covariance estimator for high dimensional portfolio optimization
Daniel BartzKerr HatrickChristian W. HesseKlaus-Robert MüllerSteven LemmPublished in: CoRR (2011)
Keyphrases
- portfolio optimization
- high dimensional
- minimum variance
- covariance matrix
- portfolio selection
- portfolio management
- problems involving
- factor analysis
- robust optimization
- bi objective
- low dimensional
- stock market
- optimization methods
- risk management
- maximum likelihood
- stock exchange
- stock price
- high dimensional data
- dimensionality reduction
- input space
- genetic algorithm
- software engineering
- data points
- feature space
- optimization problems
- decision making