A sparse approximate factor model for high-dimensional covariance matrix estimation and portfolio selection
Maurizio Daniele, Winfried Pohlmeier, and Aygul Zagidullina
| Year of publication: |
2025
|
|---|---|
| Authors: | Daniele, Maurizio ; Pohlmeier, Winfried ; Zagidullina, Aygul |
| Subject: | approximate factor model | l1-regularization | high-dimensional covariance matrix | portfolio allocation | weak factors | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Faktorenanalyse | Factor analysis | Schätztheorie | Estimation theory | CAPM |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbae017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015339161