Some properties of portfolios constructed from principal components of asset returns
DOI10.1007/S10436-022-00412-ZzbMATH Open1505.91355OpenAlexW4288749017MaRDI QIDQ2103515FDOQ2103515
Authors: Thomas Severini 
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
Recommendations
Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Cites Work
- Principal component analysis.
- Linear Statistical Inference and its Applications
- A well-conditioned estimator for large-dimensional covariance matrices
- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Equilibrium asset pricing and the cross section of expected returns
- Pricing errors and estimates of risk premia in factor models
- On the arbitrage pricing theory
- Statistics and Data Analysis for Financial Engineering
Cited In (6)
- Application of ICA and PCA to extracting structure from stock return
- Directed principal component analysis
- Principal eigenportfolios for U.S. equities
- Principal component analysis and optimal portfolio
- Sectoral portfolio optimization by judicious selection of financial ratios via PCA
- Optimal allocation of a futures portfolio utilizing numerical market phase detection
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