Factor models for portfolio selection in large dimensions : the good, the better and the ugly
Gianluca De Nard, Olivier Ledoit and Michael Wolf
| Year of publication: |
2021
|
|---|---|
| Authors: | De Nard, Gianluca ; Ledoit, Olivier ; Wolf, Michael |
| Subject: | dynamic conditional correlations | factor models | multivariate GARCH | Markowitz portfolio selection | nonlinear shrinkage | Portfolio-Management | Portfolio selection | Faktorenanalyse | Factor analysis | Korrelation | Correlation | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nby033 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012620051