Sparse Portfolios for High-Dimensional Financial Index Tracking.
Konstantinos BenidisYiyong FengDaniel P. PalomarPublished in: IEEE Trans. Signal Process. (2018)
Keyphrases
- high dimensional
- sparse data
- low dimensional
- high dimensional indexing
- portfolio optimization
- sparse coding
- high dimensionality
- high dimension
- real time
- similarity search
- feature space
- particle filter
- data points
- kalman filter
- variable selection
- parameter space
- dimensionality reduction
- high dimensional data
- mean shift
- multi dimensional
- nearest neighbor
- financial data
- financial services
- stock market
- additive models
- moving target
- real time face tracking
- particle filtering
- input space
- sparse representation
- index structure
- risk management
- motion tracking
- indexing method
- motion model
- object tracking
- generalized linear models
- linear combination
- decision making