Dynamic portfolio selection with sector-specific regularization
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- Hafner, Christian M. & Wang, Linqi, 2022. "Dynamic portfolio selection with sector-specific regularization," LIDAM Reprints LFIN 2022007, Université catholique de Louvain, Louvain Finance (LFIN).
- Hafner, Christian M. & Wang, Linqi, 2022. "Dynamic portfolio selection with sector-specific regularization," LIDAM Reprints ISBA 2022013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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More about this item
Keywords
dynamic conditional correlation; cross-validation; shrinkage; industry sectors;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
- Z11 - Other Special Topics - - Cultural Economics - - - Economics of the Arts and Literature
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2021-01-11 (Econometrics)
- NEP-ORE-2021-01-11 (Operations Research)
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