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Keywords: Sparse matrix
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Journal Articles
Journal:
Journal of Capital Markets Studies
Journal of Capital Markets Studies (2019) 3 (1): 82–90.
Published: 25 June 2019
... and their resulting performance. Transaction cost Principal component analysis (PCA) Sparse matrix Eigenportfolio Karhunen-Loeve transform (KLT) Midtread (zero-zone) pdf-optimized Lloyd-Max quantizer Eigen decomposition In order to reduce volatility, large size portfolios with built-in diversity...
