Asset allocation with factor-based covariance matrices (Q6981358)
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scientific article; zbMATH DE number 8043409
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Asset allocation with factor-based covariance matrices |
scientific article; zbMATH DE number 8043409 |
Statements
Asset allocation with factor-based covariance matrices (English)
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20 May 2025
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covariance matrix
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dimensionality reduction
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factor models
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machine learning
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minimum-variance portfolio
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