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Financial insights from the last few components of a stock market PCA

Yang, Libin; Rea, William; Rea, Alethea - In: International Journal of Financial Studies : open … 5 (2017) 3, pp. 1-12

We show that the last few components in the principal component analysis of the correlation matrix of a group of stocks may contain useful financial insights by identifying highly correlated pairs or larger groups of stocks. The results of this type of analysis can easily be included in the...

Persistent link: https://www.econbiz.de/10011759755

Optimal portfolio diversification via independent component analysis

Lassance, Nathan; DeMiguel, Victor; Vrins, Frédéric - In: Operations research 70 (2022) 1, pp. 55-72

Persistent link: https://www.econbiz.de/10012820639

Handling risk-on/risk-off dynamics with correlation regimes and correlation networks

Papenbrock, Jochen; Schwendner, Peter - In: Financial markets and portfolio management 29 (2015) 2, pp. 125-147

Persistent link: https://www.econbiz.de/10011350209

Indexing CNX NIFTY 50 momentum effects

Misra, Arun Kumar; Mohapatra, Sabyasachi - In: Margin: the journal of applied economic research 9 (2015) 2, pp. 157-178

Persistent link: https://www.econbiz.de/10011339449

Clustering and portfolio selection problems : a unified framework

Puerto, Justo; Rodríguez-Madrena, Moisés; Scozzari, Andrea - In: Computers & operations research : and their … 117 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012175449

An empirical study of the dynamic correlation of Japanese stock returns

Isogai, Takashi - 2015

Persistent link: https://www.econbiz.de/10012178381

The dynamics of exchange market pressure and inflation in Iran : regime switching approach

Sayadi, Mohammad; Omidi, Meysam - In: Iranian journal of economic studies : IJES 8 (2019) 2, pp. 225-252

Persistent link: https://www.econbiz.de/10012220592

Machine learning risk models

Kakushadze, Zura; Yu, Willie - In: Journal of risk & control 6 (2019) 1, pp. 37-64

Persistent link: https://www.econbiz.de/10012237599

FC approach in portfolio selection of Tehran's stock market

Shadkam, Elham - In: Journal of Asian finance, economics and business : JAFEB 1 (2014) 2, pp. 31-37

Persistent link: https://www.econbiz.de/10011687812

A hybrid model for portfolio optimization based on stock clustering and different investment strategies

Goudarzi, Siamak; Jafari, Mohammad Javad; Afsar, Amir - In: International journal of economics and financial issues … 7 (2017) 3, pp. 602-608

Persistent link: https://www.econbiz.de/10011822909