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
principal component analysisfactor analysisfinancial engineeringportfolio selectionhigher momentsrisk parity
Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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