Discrete portfolio optimisation for large scale systematic trading applications - Raudys, Aistis; Pabarskaite, Zidrina (2012 5th International Conference on Biomedical Engineering and Informatics, 2012)
Keywords: algorithmic trading; automated trading systems; comgen; covariance matrix; forward selection; heuristic; large scale; Markowitz; mean variance optimisation; portfolio construction; portfolio optimisation; systematic trading