Directed principal component analysis

DOI10.1287/OPRE.2014.1290MaRDI QIDQ2931712zbMATH OpenOpenAlexFDO

Authors Yi-Hao Kao, Benjamin Van Roy

Publication date 26 November 2014

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/fcf17c1f02aeb5bda0fe6a651bdc781218cc6df4

zbMATH Keywords

convex optimizationcovariance matrix estimationdecision analysishigh-dimensional dataportfolio managementprincipal component analysisstochastic programming

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic programming (90C15)

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Cites work

• A practical inventory control policy using operational statistics
• Distributed optimization and statistical learning via the alternating direction method of multipliers
• Distributionally robust optimization under moment uncertainty with application to data-driven problems
• EM algorithms for ML factor analysis
• High-dimensional analysis of semidefinite relaxations for sparse principal components
• Learning a factor model via regularized PCA
• Markowitz revisited: mean-variance models in financial portfolio analysis
• On consistency and sparsity for principal components analysis in high dimensions
• On the limited memory BFGS method for large scale optimization
• Probabilistic Principal Component Analysis
• Robust factor analysis.
• Robust Mean-Covariance Solutions for Stochastic Optimization
• Robust Portfolio Selection Problems
• Robust principal component analysis?
• Solving operational statistics via a Bayesian analysis

Cited in

(5)

• Decision-based model selection
• Some properties of portfolios constructed from principal components of asset returns
• Diagonally Dominant Principal Component Analysis
• Projected principal component analysis in factor models
• Principal component analysis and optimal portfolio

Describes a project that uses

Uses Software

• L-BFGS

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