An intrinsic robust rank-one-approximation approach for currencyportfolio optimization

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Hongxuan Huang; Zhengjun Zhang;
  • Publisher: AIMS Press
  • Journal: Quantitative Finance and Economics (issn: 2573-0134)
  • Publisher copyright policies & self-archiving
  • Related identifiers: doi: 10.3934/QFE.2018.1.645
  • Subject: currency portfolio optimization | foreign exchange rate | robust rank one approximation | virtual standard currency | modified power method | variables reduction | Applied mathematics. Quantitative methods | T57-57.97 | Finance | HG1-9999

A currency portfolio is a special kind of wealth whose value fluctuates with foreignexchange rates over time, which possesses 3Vs (volume, variety and velocity) properties of big datain the currency market. In this paper, an intrinsic robust rank one approximation (ROA)... View more
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