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A semiparametric graphical modelling approach for large-scale equity selection
We propose a new stock selection strategy that exploits rebalancing returns and improves portfolio performance. To effectively harvest rebalancing gains, we apply ideas from elliptical-copula graphical modelling and stability inference to select stocks that are as independent as possible. The propos...
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| Foilsithe in: | Quant Finance |
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| Main Authors: | , , |
| Formáid: | Artigo |
| Teanga: | Inglês |
| Foilsithe: |
2015
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| Ábhair: | |
| Rochtain Ar Líne: | https://ncbi.nlm.nih.gov/pmc/articles/PMC5354361/ https://ncbi.nlm.nih.gov/pubmed/28316507 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1080/14697688.2015.1101149 |
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