The Features of Building a Portfolio of Trading Strategies Using the SAS OPTMODEL Procedure
The article describes the original information technology of the algorithmic trading, designed to solve the problem of forming the optimal portfolio of trade strategies. The methodology of robust optimization, using the Ledoit–Wolf shrinkage method for obtaining stable estimates of the covariance ma...
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| Autors principals: | , , , , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
MDPI AG
2021-07-01
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| Col·lecció: | Computation |
| Matèries: | |
| Accés en línia: | https://www.mdpi.com/2079-3197/9/7/77 |
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