High dimensional mean–variance optimization through factor analysis
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DOI: 10.1016/j.jmva.2014.09.006
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- Sun, Xuelian & Liu, Zixian, 2016. "Optimal portfolio strategy with cross-correlation matrix composed by DCCA coefficients: Evidence from the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 667-679.
- Andrew Butler & Roy H. Kwon, 2021. "Integrating prediction in mean-variance portfolio optimization," Papers 2102.09287, arXiv.org, revised Nov 2022.
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Keywords
Factor model; Optimal portfolio allocation; Mean–variance optimization;All these keywords.
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