相关矩阵太大(50000×50000),以至于计算我想要的东西效率不高。我想做的是将其分解为组并将每个组视为单独的相关矩阵。但是,如何处理这些较小的相关矩阵之间的依赖性?我一整天都在网上研究,但没有任何结果。应该有一些算法与像这样的大相关矩阵的近似相关,对吗?
即使 4 x 4 相关矩阵也对错误很敏感。无论如何,这里有一些可能有帮助的链接:
http://www.oxford-man.ox.ac.uk/documents/papers/2011OMI08_Sheppard.pdf http://www.oxford-man.ox.ac.uk/documents/papers/2011OMI08_Sheppard.pdf
http://www.kevinsheppard.com/images/4/47/Chapter8.pdf http://www.kevinsheppard.com/images/4/47/Chapter8.pdf
http://arxiv.org/PS_cache/arxiv/pdf/1009/1009.5331v1.pdf http://arxiv.org/PS_cache/arxiv/pdf/1009/1009.5331v1.pdf
http://cran.r-project.org/web/packages/tawny/index.html http://cran.r-project.org/web/packages/tawny/index.html
http://www.rinfinance.com/RinFinance2009/presentations/yollin_slides.pdf http://www.rinfinance.com/RinFinance2009/presentations/yollin_slides.pdf
http://nurometic.com/quantitative-finance/tawny/portfolio-optimization-with-tawny http://nurometic.com/quantitative-finance/tawny/portfolio-optimization-with-tawny
http://quantivity.wordpress.com/2011/04/17/minimum-variance-portfolios/ http://quantivity.wordpress.com/2011/04/17/minimum-variance-portfolios/
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