Portfolio selection with independent component analysis
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DOI: 10.1016/j.frl.2015.09.005
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References listed on IDEAS
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Cited by:
- Shu, Lei & Lu, Feiyang & Chen, Yu, 2023. "Robust forecasting with scaled independent component analysis," Finance Research Letters, Elsevier, vol. 51(C).
- Asmerilda Hitaj & Lorenzo Mercuri & Edit Rroji, 2019. "Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization," Computational Management Science, Springer, vol. 16(1), pages 71-95, February.
- Lassance, Nathan & Vrins, Frédéric, 2021.
"Portfolio selection with parsimonious higher comoments estimation,"
Journal of Banking & Finance, Elsevier, vol. 126(C).
- Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio selection with parsimonious higher comoments estimation," LIDAM Reprints LFIN 2021005, Université catholique de Louvain, Louvain Finance (LFIN).
- Lassance, Nathan & Vrins, Frédéric, 2019.
"Robust portfolio selection using sparse estimation of comoment tensors,"
LIDAM Discussion Papers LFIN
2019007, Université catholique de Louvain, Louvain Finance (LFIN).
- Lassance, Nathan & Vrins, Frédéric, 2020. "Robust portfolio selection using sparse estimation of comoment tensors," LIDAM Discussion Papers LFIN 2020003, Université catholique de Louvain, Louvain Finance (LFIN).
- Francesco Bianchi & Lorenzo Mercuri & Edit Rroji, 2022. "Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(1), pages 57-85, March.
- Michael Senescall & Rand Kwong Yew Low, 2024. "Quantitative Portfolio Management: Review and Outlook," Mathematics, MDPI, vol. 12(18), pages 1-25, September.
- Michele Leonardo Bianchi & Asmerilda Hitaj & Gian Luca Tassinari, 2020. "Multivariate non-Gaussian models for financial applications," Papers 2005.06390, arXiv.org.
- Asmerilda Hitaj & Friedrich Hubalek & Lorenzo Mercuri & Edit Rroji, 2016. "Multivariate Mixed Tempered Stable Distribution," Papers 1609.00926, arXiv.org, revised Oct 2016.
- Fan, Liwei & Pan, Sijia & Li, Zimin & Li, Huiping, 2016. "An ICA-based support vector regression scheme for forecasting crude oil prices," Technological Forecasting and Social Change, Elsevier, vol. 112(C), pages 245-253.
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More about this item
Keywords
Independent components; Portfolio allocation; Infinitely divisible distributions;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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