An enhanced factor model for portfolio selection in high dimensions
Fangquan Shi, Lianjie Shu, and Xinhua Gu
| Year of publication: |
2024
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|---|---|
| Authors: | Shi, Fangquan ; Shu, Lianjie ; Gu, Xinhua |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 22.2024, 1, p. 94-118
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbac029 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014526307