Risks of large portfolios
From MaRDI portal
Publication:494174
DOI10.1016/j.jeconom.2015.02.015zbMath1331.91204arXiv1302.0926OpenAlexW3125932699WikidataQ40714022 ScholiaQ40714022MaRDI QIDQ494174
Xiaofeng Shi, Yuan Liao, Jianqing Fan
Publication date: 31 August 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1302.0926
Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
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