An enhanced factor model for portfolio selection in high dimensions
Year of publication: |
2024
|
---|---|
Authors: | Shi, Fangquan ; Shu, Lianjie ; Gu, Xinhua |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 22.2024, 1, p. 94-118
|
Subject: | covariance matrices | diagonally dominant structures | factor models | Fama and Frenchmodels | latent factors | minimum variance portfolios (MVPs) | Portfolio-Management | Portfolio selection | Theorie | Theory | Faktorenanalyse | Factor analysis | Varianzanalyse | Analysis of variance | CAPM | Korrelation | Correlation | Kapitaleinkommen | Capital income |
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