PRINCIPAL COMPONENT ANALYSIS AND OPTIMAL PORTFOLIO
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,General Mathematics,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s10958-023-06526-7.pdf
Reference41 articles.
1. Markowitz H. Portfolio selection. J. financ. v. 7. n. 1. p.77-91. 1952.
2. Brandt M. Portfolio choice problems. Handbook financ. economet. n. 1. p. 269-336. 2009.
3. Steinbach M.C. Markowitz revisited: mean-variance models in financial portfolio analysis. SIAM rev. v. 43. n. 1. p. 31-85. 2001.
4. Konno H., Yamazak H. Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market. Manag. sci. v. 37. n.5. p. 519-531. 1991.
5. Basak S., Shapiro A. Value-at-risk-based risk management: optimal policies and asset prices. Rev. financ. stud. v. 14. n. 2. p. 371-405. 2001.
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