Risk factor analysis and portfolio immunization in the corporate bond market.
Marida BertocchiRosella GiacomettiStavros A. ZeniosPublished in: Eur. J. Oper. Res. (2005)
Keyphrases
- factor analysis
- portfolio management
- portfolio optimization
- asset allocation
- investment decisions
- component analysis
- independent component analysis
- cluster analysis
- market competition
- discriminant analysis
- market data
- correspondence analysis
- matrix factorization
- automatic model selection
- sharpe ratio
- investment strategies
- option pricing
- financial data
- latent factors
- decision making
- stock price
- statistical tests
- portfolio selection
- risk management
- stock market
- data analysis
- support vector
- image processing