Optimal portfolio diversification via independent component analysis

Journal

Operations Research

Subject

Management Science and Operations

Publishing details

Operations Research 2022 Vol 70:1 p 55-72

Authors / Editors

Lassance N; DeMiguel V; Vrins F

Biographies

DeMiguel V

Publication Year

2022

Keywords

Portfolio selection; Risk parity; Factor analysis; Principal component analysis; Higher moments