
Quantitative Finance and Economics, 2018, 2(1): 160189. doi: 10.3934/QFE.2018.1.160.
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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
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