Directed principal component analysis
Yi-Hao Kao, Benjamin Van Roy
| Year of publication: |
2014
|
|---|---|
| Authors: | Kao, Yi-hao ; Van Roy, Benjamin |
| Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 62.2014, 4, p. 957-972
|
| Subject: | principal component analysis | covariance matrix estimation | high-dimensional data | portfolio management | convex optimization | decision analysis | stochastic programming | Theorie | Theory | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010403095