Bouaddi, Mohammed; Taamouti, Abderrahim - In: Journal of Economic Dynamics and Control 37 (2013) 12, pp. 2943-2962
We model portfolio weights as a function of latent factors that summarize the information in a large number of economic … to improve portfolio selection. We use factor analysis to estimate the space spanned by the factors. This provides … approach helps to improve the portfolio performance. …