An enhanced factor model for portfolio selection in high dimensions

Fangquan Shi, Lianjie Shu, and Xinhua Gu

Year of publication:	2024
Authors:	Shi, Fangquan ; Shu, Lianjie ; Gu, Xinhua
Subject:	covariance matrices \| diagonally dominant structures \| factor models \| Fama and Frenchmodels \| latent factors \| minimum variance portfolios (MVPs) \| Portfolio-Management \| Portfolio selection \| Faktorenanalyse \| Factor analysis \| Theorie \| Theory \| Varianzanalyse \| Analysis of variance \| CAPM \| Korrelation \| Correlation \| Volatilität \| Volatility

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