Risks of large portfolios
Year of publication: |
2013-02
|
---|---|
Authors: | Fan, Jianqing ; Liao, Yuan ; Shi, Xiaofeng |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | High dimensionality | approximate factor model | unknown factors | principal components | sparse matrix | thresholding | risk management | volatility |
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