Sectoral portfolio optimization by judicious selection of financial ratios via PCA

DOI10.1007/s11081-023-09849-1MaRDI QIDQ6640167

Shiv K. Gupta, Amita Sharma, Vrinda Dhingra

Publication date: 18 November 2024

Published in: Optimization and Engineering (Search for Journal in Brave)

zbMATH Keywords

principal component analysissecond order stochastic dominancefinancial ratiosin-sample and out-of-sample analysissectoral portfolio optimization

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Optimal stochastic control (93E20) Portfolio theory (91G10)

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