Risks of large portfolios (Q494174)

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Risks of large portfolios
scientific article

    Statements

    title
    Risks of large portfolios (English)
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    author
    Xiaofeng Shi
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    Yuan Liao
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    Jianqing Fan
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    publication date
    31 August 2015
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    zbMATH Keywords
    high dimensionality
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    factor models
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    principal components
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    sparse matrix
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    volatility
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    Identifiers

    Mathematics Subject Classification ID
    91G70
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    62H12
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    62H25
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    91G10
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    62P05
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    zbMATH DE Number
    6477033
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    Wikidata QID
    Q40714022
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    OpenAlex ID
    W3125932699
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    arXiv ID
    1302.0926
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