High-Dimensional Portfolio Optimization Based on Binary Tree of Factor Loadings

NI Xuanming, CHEN Mengmeng, QIAN Long, ZHAO Huimin

Journal of Systems Science and Mathematical Sciences ›› 2022, Vol. 42 ›› Issue (9) : 2312-2326.

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中国科学院数学与系统科学研究院期刊网
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Journal of Systems Science and Mathematical Sciences ›› 2022, Vol. 42 ›› Issue (9) : 2312-2326. DOI: 10.12341/jssms22033

High-Dimensional Portfolio Optimization Based on Binary Tree of Factor Loadings

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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Mathematical Sciences, 2022, 42(9): 2312-2326 https://doi.org/10.12341/jssms22033

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