A Unified Framework for Fast Large-Scale Portfolio Optimization-Reference-Cited by-同舟云学术

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A Unified Framework for Fast Large-Scale Portfolio Optimization

Published:2024-02-15 Issue:1 Volume:3 Page:
ISSN:2694-1899
Container-title:Data Science in Science
language:en
Short-container-title:Data Science in Science

Author:

Deng Weichuan¹,Polak Paweł¹²^ORCID,Safikhani Abolfazl³,Shah Ronakdilip¹

Affiliation:

1. Department of Applied Mathematics and Statistics, Stony Brook University, Stony Brook, NY, USA

2. Institute for Advanced Computational Science, Stony Brook University, Stony Brook, NY, USA

3. Department of Statistics, George Mason University, Fairfax, VA, USA

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/26941899.2023.2295539

Reference52 articles.

1. Value and momentum everywhere;Asness CS;J Finance,2013

2. Efficient estimation of approximate factor models via penalized maximum likelihood;Bai J;J Econometric,2016

3. Determining the number of factors in approximate factor models;Bai J;Econometrica,2002

4. Principal components estimation and identification of static factors;Bai J;J Econometric,2013

5. A joint factor model for bonds, stocks, and options;Bali TG;Swiss Finance Ins Res Paper,2023

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