PCA : Invariant Risk Metrics and Representation of Residuals for Bond Returns
Year of publication: |
2016
|
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Authors: | Musaelian, Kharen |
Other Persons: | Nagarajan, Santhanam (contributor) ; Villani, Dario (contributor) |
Publisher: |
[2016]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Risiko | Risk | CAPM |
Description of contents: |
We show how to build robust risk metrics for bond returns based on a global structure in the form of principal components and a novel quasi-local representation for the residuals
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Extent: | 1 Online-Ressource (9 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 15, 2016 erstellt |
Other identifiers: | 10.2139/ssrn.2777026 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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