Feature selection for portfolio optimization

DOI10.1007/S10479-016-2155-YMaRDI QIDQ1699122zbMATH OpenOpenAlexFDO

Authors Thomas Trier Bjerring, Omri Ross, Alex Weissensteiner

Publication date 16 February 2018

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://orbit.dtu.dk/en/publications/666d40a8-99c9-4abf-a42c-afc697f451b4

zbMATH Keywords

feature selectionportfolio optimizationparameter uncertaintyagglomerative hierarchical clustering

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Portfolio theory (91G10) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

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Cites work

• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• A well-conditioned estimator for large-dimensional covariance matrices
• Cluster analysis for portfolio optimization
• Clustering financial data for mutual fund management
• Common risk factors in the returns on stocks and bonds
• Consistency of Single Linkage for High-Density Clusters
• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• Portfolio selection with robust estimation
• The benefits of differential variance-based constraints in portfolio optimization

Cited in

(5)

• Efficient cluster-based portfolio optimization
• Market timing in parametric portfolio policies
• Optimal characteristic portfolios
• Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints
• An application of sparse-group Lasso regularization to equity portfolio optimization and sector selection

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