Large portfolio optimisation approaches
Author:
Publisher
Springer Science and Business Media LLC
Subject
Information Systems and Management,Strategy and Management,Business and International Management
Link
https://link.springer.com/content/pdf/10.1057/s41260-023-00322-3.pdf
Reference46 articles.
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2. Bai, J., and S. Ng. 2002. Determining the number of factors in approximate factor models. Econometrica 70 (1): 191–221.
3. Bali, T.G., and N. Cakici. 2010. World market risk, country-specific risk and expected returns in international stock markets. Journal of Banking & Finance 34 (6): 1152–1165.
4. Ban, G.Y., N. El Karoui, and A.E.B. Lim. 2018. Machine learning and portfolio optimization. Management Science 64 (3): 1136–1154.
5. Bekaert, G., and C.R. Harvey. 1997. Emerging equity market volatility. Journal of Financial Economics 43 (1): 29–77.
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