Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10014342063
We analyze portfolios constructed from the principal eigenvector of the equity re- turns’ correlation matrix and compare these portfolios with the capitalization weighted market portfolio. It is well known empirically that principal eigenportfolios are a good proxy for the market portfolio. We...
Persistent link: https://www.econbiz.de/10013323371
Persistent link: https://www.econbiz.de/10014486884