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- W41320737 abstract "In the spirit of financial analytics, this is an applied statistical approach to the data mining of equities price trends in order to gain insight into selecting the most desireable portfolios on the basis of return, volatility, and intersecurity time series correlation. It expands the Markowitz Portfolio Theory approach, which depends upon a multivariate normal distribution of log returns, in finding optimal security portfolios to higher dimensions (N~p). Results are reported for hundreds of candidate securities using data adjustments followed by quadratic programming in the R language." @default.
- W41320737 created "2016-06-24" @default.
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- W41320737 date "2014-01-01" @default.
- W41320737 modified "2023-09-27" @default.
- W41320737 title "Data Mining with Markowitz Portfolio Optimization in Higher Dimensions" @default.
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- W41320737 doi "https://doi.org/10.2139/ssrn.2439051" @default.
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