High dimensional minimum variance portfolio estimation under statistical factor models
Yi Ding, Yingying Li, Xinghua Zheng
| Year of publication: |
2021
|
|---|---|
| Authors: | Ding, Yi ; Li, Yingying ; Zheng, Xinghua |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 222.2021, 1,2, p. 502-515
|
| Subject: | Factor model | High dimension | Minimum variance portfolio | Principal component analysis | Portfolio-Management | Portfolio selection | Faktorenanalyse | Factor analysis | Varianzanalyse | Analysis of variance | Hauptkomponentenanalyse | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.07.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012619723