"High dimensional mean-variance optimization through factor analysis."

Binbin Chen, Shih-Feng Huang, Guangming Pan (2015)

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DOI: 10.1016/J.JMVA.2014.09.006

access: open

type: Journal Article

metadata version: 2021-02-17

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Binbin Chen, Shih-Feng Huang, Guangming Pan:
High dimensional mean-variance optimization through factor analysis. J. Multivar. Anal. 133: 140-159 (2015)

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