Regularized factor portfolio for cross-sectional multifactor models (Q2082324)
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scientific article; zbMATH DE number 7596009
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Regularized factor portfolio for cross-sectional multifactor models |
scientific article; zbMATH DE number 7596009 |
Statements
Regularized factor portfolio for cross-sectional multifactor models (English)
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4 October 2022
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portfolio selection
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generalized thresholding
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covariance shrinkage estimation
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Gross-exposure constraint
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sparsity
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0.86061156
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0.85888267
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0.85784024
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0.8552131
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0.8526243
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0.8472006
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0.8468654
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0.8452281
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