Engineering Commons^™

Subspace Methods For Portfolio Design, Onur Yilmaz

Dissertations

Financial signal processing (FSP) is one of the emerging areas in the field of signal processing. It is comprised of mathematical finance and signal processing. Signal processing engineers consider speech, image, video, and price of a stock as signals of interest for the given application. The information that they will infer from raw data is different for each application. Financial engineers develop new solutions for financial problems using their knowledge base in signal processing. The goal of financial engineers is to process the harvested financial signal to get meaningful information for the purpose.

Designing investment portfolios have always been at …