"Optimal Portfolio Diversification via Independent Component Analysis."

Nathan Lassance, Victor DeMiguel, Frédéric Vrins (2022)

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DOI: 10.1287/OPRE.2021.2140

access: closed

type: Journal Article

metadata version: 2022-02-23

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Nathan Lassance, Victor DeMiguel, Frédéric Vrins:
Optimal Portfolio Diversification via Independent Component Analysis. Oper. Res. 70(1): 55-72 (2022)

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