High dimensional mean-variance optimization through factor analysis (Q476227)
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scientific article; zbMATH DE number 6375085
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High dimensional mean-variance optimization through factor analysis |
scientific article; zbMATH DE number 6375085 |
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High dimensional mean-variance optimization through factor analysis (English)
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28 November 2014
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factor model
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optimal portfolio allocation
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mean-variance optimization
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