Optimal portfolio diversification via independent component analysis
Nathan Lassance, Victor DeMiguel, Frédéric Vrins
| 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 |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2021.2140 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012820639