Statistical Inference for the Expected Utility Portfolio in High Dimensions.
Taras BodnarSolomiia DmytrivYarema OkhrinNestor ParolyaWolfgang SchmidPublished in: IEEE Trans. Signal Process. (2021)
Keyphrases
- statistical inference
- high dimensions
- expected utility
- optimal portfolio
- decision theoretic
- utility function
- decision makers
- decision theory
- graphical models
- bayesian inference
- high dimensional data
- high dimensional
- model selection
- statistical learning
- influence diagrams
- optimal strategy
- pareto optimal
- high dimensional spaces
- portfolio selection
- decision making
- machine learning
- poor quality
- statistical methods
- probabilistic model
- belief functions
- portfolio management
- decision problems
- sparse representation
- parameter estimation
- semi supervised learning
- dimensionality reduction
- multi objective
- data sets