PCA based pre-selection approach on portfolio selection problem
by Zihao Sang
THESIS
2021
M.Phil. Industrial Engineering and Decision Analytics
1 online resource (ix, 37 pages) : color illustrations
Abstract
This thesis investigates the portfolio selection problem. We proposed a pre-selection
approach based on PCA to select stocks/portfolios before carrying out the online portfolio
selection stage. In this work, we present several pre-selection methods that utilize the
PCA method to compose new portfolios or select stocks as the new trading universe. We
apply the PAMR as the algorithm in the online portfolio selection stage to conduct our
experiments using the real trading data from Hong Kong stock market. The empirical
analysis shows that we improvement the performance of the online portfolio selection
regarding to the accumulated portfolio value and other measurements.
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