Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting.
Taras BodnarSolomiia DmytrivNestor ParolyaWolfgang SchmidPublished in: IEEE Trans. Signal Process. (2019)
Keyphrases
- global minimum
- high dimensional
- cost function
- energy function
- energy minimization
- simulated annealing
- global minimization
- global minima
- global optimum
- low dimensional
- error function
- feature space
- similarity search
- dimensionality reduction
- global minimizers
- portfolio optimization
- portfolio selection
- multi view
- dynamic programming
- objective function
- image processing