Optimal portfolio diversification via independent component analysis

Subject

Management Science and Operations

Publishing details

Social Sciences Research Network

Authors / Editors

Lassance N;DeMiguel V;Vrins F D

Biographies

Victor DeMiguel

Publication Year

2018

Publication Notes

Portfolio selection; Risk parity; Factor analysis; Principal component analysis; Higher-order moments

Series

Social Sciences Research Network

Available on ECCH

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