Optimal portfolio using Factor Graphical Lasso
Tae-Hwy Lee and Ekaterina Seregina
| Year of publication: |
2024
|
|---|---|
| Authors: | Lee, Tae-hwy ; Seregina, Ekaterina |
| Subject: | approximate factor model | elliptical distributions | Graphical Lasso | high-dimensional-ity | portfolio optimization | Sharpe ratio | Portfolio-Management | Portfolio selection | Theorie | Theory | Faktorenanalyse | Factor analysis | Risikomaß | Risk measure | Kapitaleinkommen | Capital income |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbad011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015045168