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"Principal Eigenportfolios for U.S. Equities."

Marco Avellaneda et al. (2022)

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DOI: 10.1137/20M1383501

access: closed

type: Journal Article

metadata version: 2022-10-02

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  - journals/siamfm/AvellanedaHPP22
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  - https://dblp.org/rec/journals/siamfm/AvellanedaHPP22
Marco Avellaneda, Brian Healy, Andrew Papanicolaou, George Papanicolaou:
Principal Eigenportfolios for U.S. Equities. SIAM J. Financial Math. 13(3): 702-744 (2022)

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