High dimensional minimum variance portfolio estimation under statistical factor models
Year of publication: |
2021
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Authors: | Ding, Yi ; Li, Yingying ; Zheng, Xinghua |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 222.2021, 1,2, p. 502-515
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Subject: | Factor model | High dimension | Minimum variance portfolio | Principal component analysis | Portfolio-Management | Portfolio selection | Faktorenanalyse | Factor analysis | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory | Induktive Statistik | Statistical inference |
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