Some properties of portfolios constructed from principal components of asset returns
Year of publication: |
2022
|
---|---|
Authors: | Severini, Thomas A. |
Published in: |
Annals of finance. - Heidelberg : Springer, ISSN 1614-2454, ZDB-ID 2172262-6. - Vol. 18.2022, 4, p. 457-483
|
Subject: | Dimension reduction | Efficient frontier | Factor models | Minimum-risk frontier | Portfolio theory | Theorie | Theory | Portfolio-Management | Portfolio selection | CAPM | Kapitaleinkommen | Capital income | Faktorenanalyse | Factor analysis |
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