May 2016
Intermediate to advanced
320 pages
10h 17m
English
book
Financial Signal Processing and Machine Learning
by Ali N. Akansu, Sanjeev R. Kulkarni, Dmitry M. Malioutov
Content preview from Financial Signal Processing and Machine Learning
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Chapter 2Sparse Markowitz Portfolios
Christine De Mol
Université Libre de Bruxelles, Belgium
2.1 Markowitz Portfolios
Modern portfolio theory originated from the work of Markowitz (1952), who insisted on the fact that returns should be balanced with risk and established the theoretical basis for portfolio optimization according to this principle. The portfolios are to be composed from a universe of 
securities with returns at time 
given by 
, 
, and assumed to be stationary. We denote by 
the 
vector of the expected returns of the different assets, and by 
the covariance matrix of the returns (
is the transpose of ).
A portfolio is characterized by a vector of weights , where is the amount ...
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