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
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|---|---|
| Authors: | Daniele, Maurizio ; Pohlmeier, Winfried ; Zagidullina, Aygul |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 23.2025, 1, Art.-No. nbae017, p. 1-30
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| 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 |
| 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