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

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+Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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+On the arbitrage pricing theory
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+Principal component analysis.
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+A well-conditioned estimator for large-dimensional covariance matrices
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+Nonlinear shrinkage estimation of large-dimensional covariance matrices
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+Linear Statistical Inference and its Applications
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+Statistics and Data Analysis for Financial Engineering
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+Pricing errors and estimates of risk premia in factor models
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+Equilibrium asset pricing and the cross section of expected returns
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