Principal component analysis and optimal portfolio
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Cites work
- A framework for optimization under ambiguity
- A General Qualitative Definition of Robustness
- A review on ambiguity in stochastic portfolio optimization
- A survey of algorithms and analysis for adaptive online learning
- Ambiguity in portfolio selection
- Data Mining and Knowledge Discovery Handbook
- High dimensional minimum variance portfolio estimation under statistical factor models
- scientific article; zbMATH DE number 3986407 (Why is no real title available?)
- scientific article; zbMATH DE number 1012640 (Why is no real title available?)
- Markowitz revisited: mean-variance models in financial portfolio analysis
- Online learning and online convex optimization
- On‐Line Portfolio Selection Using Multiplicative Updates
- Principal Component Analysis of High-Frequency Data
- Robust optimization
- Robust option pricing
- Robust portfolios: contributions from operations research and finance
- Scale-free online learning
- The minimum regularized covariance determinant estimator
- Time series. Data analysis and theory.
- Universal Portfolios
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