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Optimal portfolio diversification via independent component analysis
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- 492.67 K
Lassance, Nathan
[UCL]
DeMiguel, Victor
[London Business School]
Vrins, Frédéric
[UCL]
| Document type | Communication à un colloque (Conference Paper) – Présentation orale avec comité de sélection |
|---|---|
| Access type | Accès libre |
| Publication date | 2019 |
| Language | Anglais |
| Conference | "Actuarial and Financial Mathematics Conference", Brussels (du 07/02/2019 au 08/02/2019) |
| Affiliations |
UCL
- SSH/LIDAM/LFIN - Louvain Finance UCL - SSH/LIDAM/CORE - Center for operations research and econometrics London Business School - Management Science and Operations Research Department |
| Keywords | Portfolio selection ; Risk parity ; Factor analysis ; Independent component analysis ; Higher-order moments |
| Links |
| Bibliographic reference | Lassance, Nathan ; DeMiguel, Victor ; Vrins, Frédéric. Optimal portfolio diversification via independent component analysis.Actuarial and Financial Mathematics Conference (Brussels, du 07/02/2019 au 08/02/2019). |
|---|---|
| Permanent URL | http://hdl.handle.net/2078.1/213724 |