
Quantitative Finance and Economics, 2018, 2(1): 160189. doi: 10.3934/QFE.2018.1.160.
Research article Special Issue
Export file:
Format
 RIS(for EndNote,Reference Manager,ProCite)
 BibTex
 Text
Content
 Citation Only
 Citation and Abstract
An intrinsic robust rankoneapproximation approach for currency portfolio optimization
1 Department of Industrial Engineering, Tsinghua University, Beijing 100084, P.R. China
2 Department of Statistics, University of Wisconsin at Madison, Madison, WI 53706, USA
Received: , Accepted: , Published:
Special Issue: Financial Big Data Technology and Its Applications
Keywords: currency portfolio optimization; foreign exchange rate; robust rank one approximation; virtual standard currency; modified power method; variables reduction
Citation: Hongxuan Huang, Zhengjun Zhang. An intrinsic robust rankoneapproximation approach for currency portfolio optimization. Quantitative Finance and Economics, 2018, 2(1): 160189. doi: 10.3934/QFE.2018.1.160
References:
 1.Bank for International Settlements, The Group of Ten. The Bank for International Settlements (BIS), 2016. Available from: https://www.bis.org/list/g10publications/.
 2.Bapat RB, Raghavan TES (1997) Nonnegative Matrices and Applications. Cambridge University Press, Cambridge.
 3.Brauer A (1957) A new proof of theorems of Perron and Frobenius on nonnegative matrix: I. positive matrices. DUKE MATH J 23: 367–378.
 4.EI Ghaoui L, Lebret H (1997) Robust Solutions to Least Squares Problems with Uncertain Data. SIAM J MATRIX ANAL A 18: 1035–1064.
 5.Fabozzi FJ (2009) Institutional Investment Management: Equity and Bond Portfolio Strategies and Applications. John Wiley and Sons, Hoboken.
 6.Gillis N, Franҫis G (2011) LowRank Matrix Approximation with Weights or Missing Data Is NPHard. SIAM J MATRIX ANAL A 32: 1149–1165.
 7.Gillis N, Franҫis G (2014) A Continuous Characterization of the MaximumEdge Biclique Problem. J GLOBAL OPTIM 58: 439–464.
 8.Golub GH, Van Loan CF (1996) Matrix Computations. The Johns Hopkins University Press.
 9.Housholder AS (1956) On The Convergence of Matrix Iterations. J ACM 3: 314–324.
 10.Huang H, Zhang Z (2016) Virtual Standard Currency for Approximating Foreign Exchange Rates. submitted to the International Journal of Electronic Commerce, accepted.
 11.Housholder AS (1956) On The Convergence of Matrix Iterations. J ACM 3: 314–324.
 12.International Monetory Fund, Special Drawing Right SDR, 2016. Available from: http://www.imf.org/external/np/exr/facts/sdr.HTH.
 13.Kannan R, Ishteva M, Drake B et al. (2016) Bounded Matrix Low Rank Approximation, In Ganesh R. Naik(ed.), Nonnegative Matrix Factorization Techniques: Advances in Theory and Applications Springer Verlag.
 14.Lee DD, Seung HS (2001) Algorithms for Nonnegative Matrix Factorization, In T. K. Leen, T. G. Dietterich and V. Tresp, Advances in Neural Information Processing Systems 13, 556–562.
 15.Markowitz HM (1952) Portfolio Selection. J Financ 7: 77–91.
 16.Markowitz HM (1990) Normative Portfolio Analysis: Past, Present, and Future. J Econ Bus 42: 99–103.
 17.Naik GR (2016) Nonnegative Matrix Factorization Techniques: advances in theory and applications, Springer Verlag.
 18.Pennacchi G (2008) Theory of Asset Pricing, Pearson Addison Wesley, Baston.
 19.Record N (2004) Currency Overlay, Wiley, New York.
 20.Swiss Association for Standardization, Current currency and funds code list 42172015, 2016. Available from: http://www.currencyiso.org/en/home/tables/tablea1.html.
 21.Takahashi N, Hibi R (2014) Global Convergence of Modified Multiplicative Updates for Nonnegative Matrix Factorization. Comput Optim Appl 57: 417–440.
 22.Vavasis SA (2009) On the complexity of nonnegative matrix factorization. SIAM J Optimiz 20: 1364–1377.
 23.Yeandle M, MainelliM(2016) The Global Financial Centres Index 19. Z/Yen Group Limited. Available from: http://www.zyen.com/research/gfci.html.
 24.Zeng L (2001) Some applications of spectral theory of nonnegative matrices to inputoutput models. Linear Algebra and Its Applications 336: 205–218.
 25.Zhang F (1999) Matrix Theory: Basic Results and Techniques, SpringVerlag, New York.
This article has been cited by:
 1. Mengyue Wang, Hongxuan Huang, The Design of a Flexible Capitalconstrained Global Supply Chain by Integrating Operational and Financial Strategies, Omega, 2018, 10.1016/j.omega.2018.11.016
Reader Comments
© 2018 the Author(s), licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution Licese (http://creativecommons.org/licenses/by/4.0)
Associated material
Metrics
Other articles by authors
Related pages
Tools
your name: * your email: *