PRINCIPAL COMPONENT ANALYSIS AND OPTIMAL PORTFOLIO

被引：0
|
作者：
Beliavsky G. [1 ]
Danilova N. [1 ]
Yao K. [1 ]
机构：
[1] Operations Research, Mathematics, Mechanics and Computer Sciences Institute of Southern Federal University, Milchakova St., 8a, Rostov-on-Don
来源：
Journal of Mathematical Sciences | 2023年 / 271卷 / 3期
关键词：
Mean-variance portfolio; Minimal variance portfolio; Online learning; Principal component;
D O I：
10.1007/s10958-023-06526-7
中图分类号：
学科分类号：
摘要：
In this paper, we try to apply the advantages of principal component analysis (PCA) and online learning to the calculation of optimal portfolio investments. Each of these methods is widely used separately. This is done in order to make it possible to use online learning algorithms for high-dimension portfolios. © 2023, The Author(s), under exclusive licence to Springer Nature Switzerland AG.
引用
收藏
页码：368 / 377
页数：9
相关论文
共 50 条
  • [1] OPTIMAL USE OF PRINCIPAL COMPONENT ANALYSIS
    BESSE, P
    CAUSSINUS, H
    FERRE, L
    FINE, J
    [J]. COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE, 1987, 304 (15): : 459 - 462
  • [2] Optimal solutions for sparse principal component analysis
    d'Aspremont, Alexandre
    Bach, Francis
    El Ghaoui, Laurent
    [J]. JOURNAL OF MACHINE LEARNING RESEARCH, 2008, 9 : 1269 - 1294
  • [3] Certifiably optimal sparse principal component analysis
    Lauren Berk
    Dimitris Bertsimas
    [J]. Mathematical Programming Computation, 2019, 11 : 381 - 420
  • [4] AN OPTIMAL TRANSFORMATION FOR DISCRIMINANT AND PRINCIPAL COMPONENT ANALYSIS
    DUCHENE, J
    LECLERCQ, S
    [J]. IEEE TRANSACTIONS ON PATTERN ANALYSIS AND MACHINE INTELLIGENCE, 1988, 10 (06) : 978 - 983
  • [5] Optimal Mean Robust Principal Component Analysis
    Nie, Feiping
    Yuan, Jianjun
    Huang, Heng
    [J]. INTERNATIONAL CONFERENCE ON MACHINE LEARNING, VOL 32 (CYCLE 2), 2014, 32 : 1062 - 1070
  • [6] Certifiably optimal sparse principal component analysis
    Berk, Lauren
    Bertsimasi, Dimitris
    [J]. MATHEMATICAL PROGRAMMING COMPUTATION, 2019, 11 (03) : 381 - 420
  • [7] Optimal Portfolio Diversification via Independent Component Analysis
    Lassance, Nathan
    DeMiguel, Victor
    Vrins, Frederic
    [J]. OPERATIONS RESEARCH, 2022, 70 (01) : 55 - 72
  • [8] PRINCIPAL COMPONENT FILTER BANKS FOR OPTIMAL MULTIRESOLUTION ANALYSIS
    TSATSANIS, MK
    GIANNAKIS, GB
    [J]. IEEE TRANSACTIONS ON SIGNAL PROCESSING, 1995, 43 (08) : 1766 - 1777
  • [9] Optimal Principal Component Analysis in Distributed and Streaming Models
    Boutsidis, Christos
    Woodruff, David P.
    Zhong, Peilin
    [J]. STOC'16: PROCEEDINGS OF THE 48TH ANNUAL ACM SIGACT SYMPOSIUM ON THEORY OF COMPUTING, 2016, : 236 - 249
  • [10] Robust kernel principal component analysis with optimal mean
    Li, Pei
    Zhang, Wenlin
    Lu, Chengjun
    Zhang, Rui
    Li, Xuelong
    [J]. NEURAL NETWORKS, 2022, 152 : 347 - 352
12345