We analyze a methodology for portfolio selection based on the independent component analysis. In this paper parametric and non-parametric approaches are used for capturing the behavior of independent components that generate the distribution of asset returns. Although the setup is quite general, we focus mainly on the numerical issues encountered for parametric models and suggest the inclusion of a penalty function in the optimization problem.

Hitaj, A., Mercuri, L., & Rroji, E. (2015). Portfolio selection with independent component analysis. FINANCE RESEARCH LETTERS, 15, 146-159 [10.1016/j.frl.2015.09.005].

Portfolio selection with independent component analysis

HITAJ, ASMERILDA
Primo
;
MERCURI, LORENZO
Secondo
;
RROJI, EDIT
Ultimo
2015

Abstract

We analyze a methodology for portfolio selection based on the independent component analysis. In this paper parametric and non-parametric approaches are used for capturing the behavior of independent components that generate the distribution of asset returns. Although the setup is quite general, we focus mainly on the numerical issues encountered for parametric models and suggest the inclusion of a penalty function in the optimization problem.
Articolo in rivista - Articolo scientifico
Independent components; Portfolio allocation; Infinitely divisible distributions
English
146
159
14
Hitaj, A., Mercuri, L., & Rroji, E. (2015). Portfolio selection with independent component analysis. FINANCE RESEARCH LETTERS, 15, 146-159 [10.1016/j.frl.2015.09.005].
Hitaj, A; Mercuri, L; Rroji, E
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/99602
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