Some properties of portfolios constructed from principal components of asset returns (Q2103515): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10436-022-00412-z
+Normal rank
@@ Property / OpenAlex ID @@
+W4288749017
@@ Property / OpenAlex ID: W4288749017 / rank @@
+Normal rank
@@ Property / cites work @@
+Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
+Normal rank
@@ Property / cites work @@
+On the arbitrage pricing theory
@@ Property / cites work: On the arbitrage pricing theory / rank @@
+Normal rank
@@ Property / cites work @@
+Principal component analysis.
@@ Property / cites work: Principal component analysis. / rank @@
+Normal rank
@@ Property / cites work @@
+A well-conditioned estimator for large-dimensional covariance matrices
+Normal rank
@@ Property / cites work @@
+Nonlinear shrinkage estimation of large-dimensional covariance matrices
+Normal rank
@@ Property / cites work @@
+Linear Statistical Inference and its Applications
@@ Property / cites work: Linear Statistical Inference and its Applications / rank @@
+Normal rank
@@ Property / cites work @@
+Statistics and Data Analysis for Financial Engineering
+Normal rank
@@ Property / cites work @@
+Pricing errors and estimates of risk premia in factor models
+Normal rank
@@ Property / cites work @@
+Equilibrium asset pricing and the cross section of expected returns
+Normal rank