Optimal portfolio diversification via independent component analysis
(2019) Actuarial and Financial Mathematics Conference — Location: Brussels (7.February.2019)
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OptimalPortfolioDiversificationviaIndependentComponentAnalysis.pdf
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- Authors
- Affiliations
London Business School Management Science and Operations Research Department
Citations
Lassance, N., DeMiguel, V., & Vrins, F. (2019). Optimal portfolio diversification via independent component analysis. Actuarial and Financial Mathematics Conference, Brussels. https://hdl.handle.net/2078.5/91659