Principal component analysis and optimal portfolio

DOI10.1007/s10958-023-06526-7OpenAlexW4386253186MaRDI QIDQ6187960

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Publication date: 1 February 2024

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-023-06526-7

zbMATH Keywords

online learningminimal variance portfolioprincipal componentmean-variance portfolio

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)

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