Risk minimization in multi-factor portfolios: what is the best strategy?

DOI10.1007/s10479-017-2467-6zbMath1417.91459OpenAlexW2604333235MaRDI QIDQ1621911

Philipp J. Kremer, Sandra Paterlini, Andreea Talmaciu

Publication date: 12 November 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-017-2467-6

zbMATH Keywords

regularizationportfolio optimizationtransaction costrisk factorsminimum risk portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10)

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