High-dimensional portfolio optimization based on tree-structured factor model
Xuanming Ni, Tiantian Zheng, Huimin Zhao, Shushang Zhu
| Year of publication: |
2023
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|---|---|
| Authors: | Ni, Xuanming ; Zheng, Tiantian ; Zhao, Huimin ; Zhu, Shushang |
| Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 81.2023, p. 1-19
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| Subject: | Portfolio optimization | Nonparametric estimation | Characteristic-sorted portfolio | Tree structure | Lasso | Portfolio-Management | Portfolio selection | Nichtparametrisches Verfahren | Nonparametric statistics | Nichtparametrische Schätzung | Schätztheorie | Estimation theory | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.pacfin.2023.102106 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014500738