Factor models for portfolio selection in large dimensions : the good, the better and the ugly
Year of publication: |
2021
|
---|---|
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
|
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 |
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