| dc.contributor.author | Tolun, Seda | |
| dc.contributor.author | Tayali, Halit Alper | |
| dc.date.accessioned | 2021-03-03T14:05:25Z | |
| dc.date.available | 2021-03-03T14:05:25Z | |
| dc.identifier.citation | Tayali H. A. , Tolun S., "Dimension reduction in mean-variance portfolio optimization", EXPERT SYSTEMS WITH APPLICATIONS, cilt.92, ss.161-169, 2018 | |
| dc.identifier.issn | 0957-4174 | |
| dc.identifier.other | vv_1032021 | |
| dc.identifier.other | av_37a7c5f4-8777-4bd3-ae25-e4a1ca6e7975 | |
| dc.identifier.uri | http://hdl.handle.net/20.500.12627/41531 | |
| dc.identifier.uri | https://doi.org/10.1016/j.eswa.2017.09.009 | |
| dc.description.abstract | Dimension reduction methods are useful pre-processing tools for efficient quantitative analysis with the aim to preserve the main features of the multidimensional data. However, negative values resulting from the transformation may obscure the interpretation of the analysis. This novel study aims to investigate the effects of non-negative dimension reduction methods on the mean-variance portfolio optimization model. Backtesting results for major stock market indices show that reducing dimensionality of asset prices may improve the overall efficiency of the mean-variance portfolio optimization output. (C) 2017 Elsevier Ltd. All rights reserved. | |
| dc.language.iso | eng | |
| dc.subject | Mühendislik ve Teknoloji | |
| dc.subject | Sosyal Bilimler (SOC) | |
| dc.subject | Sosyal ve Beşeri Bilimler | |
| dc.subject | Ekonometri | |
| dc.subject | Yöneylem | |
| dc.subject | Bilgi Sistemleri, Haberleşme ve Kontrol Mühendisliği | |
| dc.subject | Sinyal İşleme | |
| dc.subject | Bilgisayar Bilimleri | |
| dc.subject | Algoritmalar | |
| dc.subject | BİLGİSAYAR BİLİMİ, YAPAY ZEKA | |
| dc.subject | Bilgisayar Bilimi | |
| dc.subject | Mühendislik, Bilişim ve Teknoloji (ENG) | |
| dc.subject | MÜHENDİSLİK, ELEKTRİK VE ELEKTRONİK | |
| dc.subject | Mühendislik | |
| dc.subject | OPERASYON ARAŞTIRMA VE YÖNETİM BİLİMİ | |
| dc.subject | Ekonomi ve İş | |
| dc.title | Dimension reduction in mean-variance portfolio optimization | |
| dc.type | Makale | |
| dc.relation.journal | EXPERT SYSTEMS WITH APPLICATIONS | |
| dc.contributor.department | İstanbul Üniversitesi , , | |
| dc.identifier.volume | 92 | |
| dc.identifier.startpage | 161 | |
| dc.identifier.endpage | 169 | |
| dc.contributor.firstauthorID | 716965 | |
