Arbitrage pricing theory-based Gaussian temporal factor analysis for adaptive portfolio management.

Kai Chun Chiu Lei Xu

Published in: Decis. Support Syst. (2004)

Keyphrases

portfolio management
factor analysis
portfolio optimization
sharpe ratio
portfolio selection
independent component analysis
discriminant analysis
cluster analysis
statistical tests
financial data
matrix factorization
transaction costs
decision making
machine learning
image processing
financial markets