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Design of Eigenportfolios for US Equities Using Exponential..:
, In:
2019 53rd Annual Conference on Information Sciences and Systems (CISS)
,
Akansu, Ali N.
;
Xiong, Anqi
- p. 1-5 , 2019
Link:
https://doi.org/10.1109/CISS.2019.8692939
RT T1 <cTitle>2019 53rd Annual Conference on Information Sciences and Systems (CISS)</cTitle>: T1 <Title>Design of Eigenportfolios for US Equities Using Exponential Correlation Model</Title> UL https://suche.suub.uni-bremen.de/peid=ieee-8692939&Exemplar=1&LAN=DE A1 Akansu, Ali N. A1 Xiong, Anqi YR 2019 K1 Correlation K1 Matrix decomposition K1 Covariance matrices K1 Indexes K1 Data models K1 Portfolios K1 Eigenvalues and eigenfunctions K1 Exponential correlation model K1 Toeplitz matrix K1 eigen decomposition K1 principal component analysis K1 Karhunen-Loeve Transform K1 eigenportfolios K1 PNL curve K1 Sharpe ratio SP 1 OP 5 LK http://dx.doi.org/https://doi.org/10.1109/CISS.2019.8692939 DO https://doi.org/10.1109/CISS.2019.8692939 SF ELIB - SuUB Bremen
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