High dimensional minimum variance portfolio estimation under statistical factor models (Q2658801)
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scientific article; zbMATH DE number 7327206
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | High dimensional minimum variance portfolio estimation under statistical factor models |
scientific article; zbMATH DE number 7327206 |
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High dimensional minimum variance portfolio estimation under statistical factor models (English)
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24 March 2021
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minimum variance portfolio
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high dimension
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principal component analysis
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factor model
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0.8763355612754822
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0.8653784990310669
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0.8479178547859192
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0.8422998189926147
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0.8303279280662537
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