Asset allocation with factor-based covariance matrices
Thomas Conlon, John Cotter, Iason Kynigakis
| Year of publication: |
2025
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|---|---|
| Authors: | Conlon, Thomas ; Cotter, John ; Kynigakis, Iason |
| Published in: |
European journal of operational research : EJOR. - Amsterdam [u.a.] : Elsevier, ISSN 0377-2217, ZDB-ID 1501061-2. - Vol. 325.2025, 1 (16.8.), p. 189-203
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| Subject: | Covariance matrix | Dimensionality reduction | Factor models | Machine learning | Minimum-variance portfolio | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Faktorenanalyse | Factor analysis | Künstliche Intelligenz | Artificial intelligence | Theorie | Theory | Varianzanalyse | Analysis of variance | Prognoseverfahren | Forecasting model | CAPM | Lineare Algebra | Linear algebra | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2025.03.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015433232