Some properties of portfolios constructed from principal components of asset returns

DOI10.1007/s10436-022-00412-zzbMath1505.91355OpenAlexW4288749017MaRDI QIDQ2103515

Thomas A. Severini

Publication date: 14 December 2022

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-022-00412-z

zbMATH Keywords

dimension reductionportfolio theoryfactor modelsefficient frontierminimum-risk frontier

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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• Statistics and Data Analysis for Financial Engineering
• Linear Statistical Inference and its Applications