Principal Eigenportfolios for U.S. Equities
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Publication:5092726
DOI10.1137/20M1383501zbMath1497.91269OpenAlexW4285801994MaRDI QIDQ5092726
Andrew Papanicolaou, Brian C. Healy, George S. Papanicolaou, Marco Avellaneda
Publication date: 22 July 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/20m1383501
Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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