Hierarchical Clustering as a Dimension Reduction Technique for Markowitz Portfolio Optimization
Optimal portfolio selection is a common and important application of an optimization problem. Practical applications of an existing optimal portfolio selection methods is often difficult due to high data dimensionality (as a consequence of the large number of securities available for investment). In...
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| Format: | Artigo |
| Sprache: | Inglês |
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Yaroslavl State University
2020-03-01
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| Schriftenreihe: | Моделирование и анализ информационных систем |
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| Online-Zugang: | https://www.mais-journal.ru/jour/article/view/1288 |
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