Optimal Portfolio Diversification via Independent Component Analysis

DOI10.1287/opre.2021.2140zbMath1484.91431OpenAlexW3197567398MaRDI QIDQ5031000

Victor DeMiguel, Nathan Lassance, Frédéric Vrins

Publication date: 18 February 2022

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

Full work available at URL: https://lbsresearch.london.edu/id/eprint/1755/1/OptimalPortfolioDiversific.pdf

zbMATH Keywords

principal component analysisfactor analysisfinancial engineeringportfolio selectionhigher momentsrisk parity

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (3)

First passage times in portfolio optimization: a novel nonparametric approach ⋮ Portfolio selection: a target-distribution approach ⋮ Dynamic Score-Driven Independent Component Analysis

Uses Software

• ElemStatLearn
• GHICA

Cites Work

• Unnamed Item
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