Optimal Portfolio Diversification via Independent Component Analysis

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Publication:5031000

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




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