Directed principal component analysis
Year of publication: |
2014
|
---|---|
Authors: | Kao, Yi-hao ; Van Roy, Benjamin |
Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 62.2014, 4, p. 957-972
|
Subject: | principal component analysis | covariance matrix estimation | high-dimensional data | portfolio management | convex optimization | decision analysis | stochastic programming | Portfolio-Management | Portfolio selection | Theorie | Theory | Korrelation | Correlation | Hauptkomponentenanalyse | Principal component analysis | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Multivariate Analyse | Multivariate analysis |
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