Portfolio efficiency with high-dimensional data as conditioning information
Year of publication: |
2021
|
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Authors: | Vigo, Caio |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 77.2021, p. 1-23
|
Subject: | Dimensionality reduction | Efficient portfolios | LASSO | Partial least squares (PLS) | Principal components regression (PCR) | Ridge regression | Shrinkage | Three-pass regression filter (3PRF) | Regressionsanalyse | Regression analysis | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Kleinste-Quadrate-Methode | Least squares method |
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