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Feature selection for portfolio optimization
Thomas Trier Bjerring,
Omry Ross
, Alex Weissensteiner
Department of Computer Science
7
Citations (Scopus)
52
Downloads (Pure)
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Dive into the research topics of 'Feature selection for portfolio optimization'. Together they form a unique fingerprint.
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Keyphrases
Feature Selection
100%
Portfolio Optimization
100%
Selection Rules
75%
Selection Strategy
25%
Sample Mean
25%
Robust Portfolio Selection
25%
Simple Rules
25%
Parameter Uncertainty
25%
Covariance Matrix
25%
Optimization Rules
25%
Factor Model
25%
Parameter Estimation
25%
Sample Covariance
25%
Diversification Benefits
25%
Mean Matrix
25%
Rule-based
25%
Parameter Estimation Problem
25%
Computer Science
Feature Selection
100%
Parameter Estimation
100%
Feature Extraction
100%
Parameter Uncertainty
50%
Covariance Matrix
50%
Selection Method
50%
Economics, Econometrics and Finance
Portfolio Selection
100%
Factor Model
20%