Efficient cluster-based portfolio optimization

DOI10.1080/03610918.2019.1621341zbMath1497.62271OpenAlexW2948727849MaRDI QIDQ5082777

Najla Bnouachir, Abdallah Mkhadri

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2019.1621341

zbMATH Keywords

clusteringcovariance matrixSharpe ratioportfolio theory

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• Cluster-based regularized sliced inverse regression for forecasting macroeconomic variables
• Estimation of the precision matrix of a singular Wishart distribution and its application in high-dimensional data
• Feature selection for portfolio optimization
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms

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