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Optimal Portfolio Diversification via Independent Component Analysis - MaRDI portal

Optimal Portfolio Diversification via Independent Component Analysis (Q5031000)

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scientific article; zbMATH DE number 7476267
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English
Optimal Portfolio Diversification via Independent Component Analysis
scientific article; zbMATH DE number 7476267

    Statements

    title
    Optimal Portfolio Diversification via Independent Component Analysis (English)
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    author
    Nathan Lassance
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    Victor DeMiguel
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    Frédéric Vrins
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    publication date
    18 February 2022
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    zbMATH Keywords
    financial engineering
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    portfolio selection
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    risk parity
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    factor analysis
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    principal component analysis
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    higher moments
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    cites work
    Q4230831
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    62P05
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    62H25
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    zbMATH DE Number
    7476267
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    OpenAlex ID
    W3197567398
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