A nested factor model for non-linear dependencies in stock returns

DOI10.1080/14697688.2014.994668zbMath1406.91405arXiv1309.3102OpenAlexW1973237724MaRDI QIDQ4619483

Rémy Chicheportiche, Jean-Philippe Bouchaud

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.3102

zbMATH Keywords

stock returnsportfolio selectionfactor modelsvolatility correlationsnon-linear dependences

Mathematics Subject Classification ID

Portfolio theory (91G10)

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