2022
DOI: 10.2139/ssrn.4092344
|View full text |Cite
|
Sign up to set email alerts
|

Dynamic Portfolio Optimization with Inverse Covariance Clustering

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
1

Citation Types

0
1
0

Year Published

2022
2022
2022
2022

Publication Types

Select...
1
1

Relationship

1
1

Authors

Journals

citations
Cited by 2 publications
(1 citation statement)
references
References 120 publications
0
1
0
Order By: Relevance
“…At the finest granular level, in finance, modeling the levels of limit order book is a multivariate problem for high-frequency trading with the aim of mid-price prediction [7,8]. For longer-term investment like portfolio management [37,60], prices of assets in a portfolio are usually multivariate time-series. Multivariate time series forecasting methods assume inter-dependencies among dynamically changing variables, which captures systematic trends.…”
Section: Introductionmentioning
confidence: 99%
“…At the finest granular level, in finance, modeling the levels of limit order book is a multivariate problem for high-frequency trading with the aim of mid-price prediction [7,8]. For longer-term investment like portfolio management [37,60], prices of assets in a portfolio are usually multivariate time-series. Multivariate time series forecasting methods assume inter-dependencies among dynamically changing variables, which captures systematic trends.…”
Section: Introductionmentioning
confidence: 99%