High dimensional mean-variance optimization through factor analysis
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Publication:476227
DOI10.1016/J.JMVA.2014.09.006zbMath1302.62138OpenAlexW2008943413MaRDI QIDQ476227
Binbin Chen, Shih-Feng Huang, Guangming Pan
Publication date: 28 November 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2014.09.006
Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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