Optimal portfolio diversification via independent component analysis
Year of publication: |
2022
|
---|---|
Authors: | Lassance, Nathan ; DeMiguel, Victor ; Vrins, Frédéric |
Published in: |
Operations research. - Linthicum, Md. : INFORMS, ISSN 1526-5463, ZDB-ID 2019440-7. - Vol. 70.2022, 1, p. 55-72
|
Subject: | Financial Engineering | factor analysis | higher moments | portfolio selection | principal component analysis | risk parity | Portfolio-Management | Portfolio selection | Faktorenanalyse | Factor analysis | Theorie | Theory | Hauptkomponentenanalyse | Principal component analysis | Financial engineering |
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