Time-homogeneous top-K ranking using tensor decompositions

DOI10.1080/10556788.2019.1584623zbMath1467.62039OpenAlexW2918651208MaRDI QIDQ5858998

Shengyuan Chen, Zi-Jiang Yang, Masoud Ataei, M. Reza Peyghami

Publication date: 15 April 2021

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10556788.2019.1584623

zbMATH Keywords

tensor decompositionrank aggregationrank centralityS\&P500top-\(K\) rankingBradley-Terry-Luce (BTL) modelcardinality-constrained portfolio optimizationnon-stationary spatio-temporal data analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical ranking and selection procedures (62F07)

Uses Software

• FinTS

Cites Work

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