A linear programming model for selection of sparse high-dimensional multiperiod portfolios.

Chi Seng Pun Hoi Ying Wong

Published in: Eur. J. Oper. Res. (2019)

Keyphrases

high dimensional
linear programming
computational model
objective function
sparse data
prior knowledge
selection mechanism
statistical model
high level
optimal solution
probabilistic model
neural network
mathematical model
generalized linear models
nearest neighbor
management system
data points