High dimensional mean-variance optimization through factor analysis.
Binbin ChenShih-Feng HuangGuangming PanPublished in: J. Multivar. Anal. (2015)
Keyphrases
- factor analysis
- portfolio optimization
- high dimensional
- component analysis
- independent component analysis
- discriminant analysis
- cluster analysis
- matrix factorization
- automatic model selection
- portfolio management
- latent factors
- statistical tests
- dimensionality reduction
- neural network
- high dimensional data
- low dimensional
- feature space
- object recognition
- pattern recognition
- cross validation
- logistic regression
- nearest neighbor
- data points
- machine learning
- data sets