Portfolio selection with parsimonious higher comoments estimation
Nathan Lassance, Frédéric Vrins
| Year of publication: |
2021
|
|---|---|
| Authors: | Lassance, Nathan ; Vrins, Frédéric |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 126.2021, p. 1-13
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| Subject: | Portfolio selection | Estimation risk | Independent component analysis | Principal component analysis | Higher moments | Portfolio-Management | Schätztheorie | Estimation theory | Schätzung | Estimation | Hauptkomponentenanalyse | Faktorenanalyse | Factor analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2021.106115 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012820331