Keywords: Eigenportfolio
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Journal Articles
Journal of Capital Markets Studies (2019) 3 (1): 82–90.
Published: 25 June 2019
... is to employ a sparsing method to sparse the eigenportfolios, so that the transaction cost can be reduced and without any loss of its performance. Design/methodology/approach In this paper, the authors have designed pdf-optimized mid-tread Lloyd-Max quantizers based on the distribution of each...

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