Optimal Portfolio Diversification via Independent Component Analysis.
Nathan LassanceVictor DeMiguelFrédéric VrinsPublished in: Oper. Res. (2022)
Keyphrases
- independent component analysis
- optimal portfolio
- portfolio selection
- expected utility
- independent components
- factor analysis
- principal component analysis
- signal processing
- tabu search
- blind source separation
- independent subspace analysis
- utility function
- pareto optimal
- decision theoretic
- natural gradient
- objective function
- feature vectors