Some properties of portfolios constructed from principal components of asset returns
From MaRDI portal
Publication:2103515
DOI10.1007/s10436-022-00412-zzbMath1505.91355OpenAlexW4288749017MaRDI QIDQ2103515
Publication date: 14 December 2022
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-022-00412-z
Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Cites Work
- A well-conditioned estimator for large-dimensional covariance matrices
- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- Pricing errors and estimates of risk premia in factor models
- On the arbitrage pricing theory
- Principal component analysis.
- Equilibrium asset pricing and the cross section of expected returns
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Statistics and Data Analysis for Financial Engineering
- Linear Statistical Inference and its Applications