High dimensional mean-variance optimization through factor analysis (Q476227)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High dimensional mean-variance optimization through factor analysis |
scientific article |
Statements
High dimensional mean-variance optimization through factor analysis (English)
0 references
28 November 2014
0 references
factor model
0 references
optimal portfolio allocation
0 references
mean-variance optimization
0 references
0 references
0 references
