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
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|---|---|
| Authors: | De Nard, Gianluca ; Ledoit, Olivier ; Wolf, Michael |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 19.2021, 2, p. 236-257
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| 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 |
| 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