A maximal predictability portfolio using dynamic factor selection strategy (Q3580214)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5769259
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A maximal predictability portfolio using dynamic factor selection strategy |
scientific article; zbMATH DE number 5769259 |
Statements
A MAXIMAL PREDICTABILITY PORTFOLIO USING DYNAMIC FACTOR SELECTION STRATEGY (English)
0 references
11 August 2010
0 references
maximal predictability portfolio
0 references
factor model
0 references
nonconvex minimization problem
0 references
fractional programming
0 references
absolute deviation
0 references
0-1 integer programming
0 references
0.8046314716339111
0 references
0.8003653287887573
0 references
0.770982027053833
0 references
0.7429019212722778
0 references
0.732847273349762
0 references
