Single-Index Model, Multiple-Index Model, and Portfolio Selection

DOI10.1142/9789811202391_0081zbMATH Open1454.91223OpenAlexW3081009595MaRDI QIDQ5139511

Cheng-Few Lee

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0081

zbMATH Keywords

linear programmingmarket modelcovariancesingle-index modelmultiple-index modelbeta coefficientLagrangian calculus maximization

Mathematics Subject Classification ID

Linear programming (90C05) Portfolio theory (91G10)

Related Items (1)

Portfolio single index (PSI) multivariate conditional and stochastic volatility models

Uses Software

• Excel

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