Black-Litterman asset allocation model based on principal component analysis (PCA) under uncertainty.
Ding LeiPublished in: Clust. Comput. (2019)
Keyphrases
- principal component analysis
- asset allocation
- optimal portfolio
- principal components
- portfolio management
- dimensionality reduction
- dimension reduction
- independent component analysis
- low dimensional
- portfolio selection
- feature extraction
- linear discriminant analysis
- covariance matrix
- face recognition
- expected utility
- feature space
- face images
- discriminant analysis
- singular value decomposition
- portfolio optimization
- decision support system
- belief functions
- robust optimization
- state space
- dimension reduction methods