Related papers: Random Matrix Filtering in Portfolio Optimization
Stochastic algorithms are among the best for solving computationally hard search and reasoning problems. The runtime of such procedures is characterized by a random variable. Different algorithms give rise to different probability…
The use of low-rank approximation filters in the field of NMR is increasing due to their flexibility and effectiveness. Despite their ability to reduce the Mean Square Error between the processed signal and the true signal is well known,…
Portfolio optimisation is essential in quantitative investing, but its implementation faces several practical difficulties. One particular challenge is converting optimal portfolio weights into real-life trades in the presence of realistic…
There is a great need for robust techniques in data mining and machine learning contexts where many standard techniques such as principal component analysis and linear discriminant analysis are inherently susceptible to outliers.…
Selecting the optimal Markowitz porfolio depends on estimating the covariance matrix of the returns of $N$ assets from $T$ periods of historical data. Problematically, $N$ is typically of the same order as $T$, which makes the sample…
Randomized algorithms for very large matrix problems have received a great deal of attention in recent years. Much of this work was motivated by problems in large-scale data analysis, and this work was performed by individuals from many…
A new methodology has been introduced to clean the correlation matrix of single stocks returns based on a constrained principal component analysis using financial data. Portfolios were introduced, namely "Fundamental Maximum Variance…
In the era of big data, one of the key challenges is the development of novel optimization algorithms that can accommodate vast amounts of data while at the same time satisfying constraints and limitations of the problem under study. The…
Covariance matrices estimated from short, noisy, and non-Gaussian financial time series are notoriously unstable. Empirical evidence suggests that such covariance structures often exhibit power-law scaling, reflecting complex, hierarchical…
Multiple rotation averaging plays a crucial role in computer vision and robotics domains. The conventional optimization-based methods optimize a nonlinear cost function based on certain noise assumptions, while most previous learning-based…
Adaptive algorithms based on sample matrix inversion belong to an important class of algorithms used in radar target detection to overcome prior uncertainty of interference covariance. Sample matrix inversion problem is generally ill…
Probabilistic approach to Boolean matrix factorization can provide solutions robustagainst noise and missing values with linear computational complexity. However,the assumption about latent factors can be problematic in real world…
In this paper, we explore the portfolio allocation problem involving an uncertain covariance matrix. We calculate the expected value of the Constant Absolute Risk Aversion (CARA) utility function, marginalized over a distribution of…
Integer variables allow the treatment of some portfolio optimization problems in a more realistic way and introduce the possibility of adding some natural features to the model. We propose an algebraic approach to maximize the expected…
Portfolio optimization is a critical area in finance, aiming to maximize returns while minimizing risk. Metaheuristic algorithms were shown to solve complex optimization problems efficiently, with Genetic Algorithms and Particle Swarm…
Pruning the weights of randomly initialized neural networks plays an important role in the context of lottery ticket hypothesis. Ramanujan et al. (2020) empirically showed that only pruning the weights can achieve remarkable performance…
In this paper we briefly review two recent use-cases of quantum optimization algorithms applied to hard problems in finance and economy. Specifically, we discuss the prediction of financial crashes as well as dynamic portfolio optimization.…
Modeling and managing portfolio risk is perhaps the most important step to achieve growing and preserving investment performance. Within the modern portfolio construction framework that built on Markowitz's theory, the covariance matrix of…
Filtering - the task of estimating the conditional distribution for states of a dynamical system given partial and noisy observations - is important in many areas of science and engineering, including weather and climate prediction.…
This paper describes multi-portfolio `internal' rebalancing processes used in the finance industry. Instead of trading with the market to `externally' rebalance, these internal processes detail how portfolio managers buy and sell between…