Portfolio selection with parsimonious higher comoments estimation
Year of publication: |
2021
|
---|---|
Authors: | Lassance, Nathan ; Vrins, Frédéric |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 126.2021, p. 1-13
|
Subject: | Portfolio selection | Estimation risk | Independent component analysis | Principal component analysis | Higher moments | Portfolio-Management | Schätztheorie | Estimation theory | Schätzung | Estimation |
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