Portfolio selection in a data-rich environment

DOI10.1016/j.jedc.2013.08.010zbMath1402.91665OpenAlexW1998616400MaRDI QIDQ1994213

Mohammed Bouaddi, Abderrahim Taamouti

Publication date: 1 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2013.08.010

zbMATH Keywords

stock returnsfactor analysisprincipal componentsVIXportfolio performanceFama-French factorseconomic factorsportfolio's weights modeling

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

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• Forecasting economic time series using targeted predictors
• Asset allocation under multivariate regime switching
• Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment
• Sharpe thinking in asset ranking with one-sided measures
• Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach
• Sensitivity Analysis for Mean-Variance Portfolio Problems
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• Forecasting Using Principal Components From a Large Number of Predictors
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models

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