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An enhanced factor model for portfolio selection in high dimensions Journal article
Shi, Fangquan, Shu, Lianjie, Gu, Xinhua. An enhanced factor model for portfolio selection in high dimensions[J]. Journal of Financial Ecnometrics, 2024, 22(1), 94-118.
Authors:  Shi, Fangquan;  Shu, Lianjie;  Gu, Xinhua
Favorite | TC[WOS]:1 TC[Scopus]:1  IF:1.8/4.0 | Submit date：2022/08/31
Asset Allocation  Mixed Factors  Diagonally-dominant Covariances