Eigenportfolios of US equities for the exponential correlation model
Year of publication: |
2020
|
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Authors: | Akansu, Ali N. ; Xiong, Anqi |
Published in: |
The journal of investment strategies. - London : Infopro Digital, ISSN 2047-1238, ZDB-ID 2889641-5. - Vol. 9.2020, 1, p. 55-77
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Subject: | exponential correlation model | Toeplitz matrix | eigendecomposition | principal component analysis | Karhunen-Loeve transform (KLT) | eigenportfolios | market portfolio | minimum variance portfolio | exchange-traded fund (ETF) | Sharpe ratio | market exposure | profit and loss (P&L) curve | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Indexderivat | Index derivative | Schätztheorie | Estimation theory |
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