On sparsity of eigenportfolios to reduce transaction cost
Year of publication: |
2019
|
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Authors: | Xiong, Anqi ; Akansu, Ali N. |
Published in: |
Journal of capital markets studies. - Bingley : Emerald, ISSN 2514-4774, ZDB-ID 2919974-8. - Vol. 3.2019, 1, p. 82-90
|
Subject: | Transaction cost | Principal component analysis (PCA) | Sparse matrix | Eigenportfolio | Karhunen-Loeve transform (KLT) | Midtread (zero-zone) pdf-optimized Lloyd-Max quantizer | Eigen decomposition | Theorie | Theory | Transaktionskosten | Transaction costs |
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