Optimal Portfolio Using Factor Graphical Lasso

Tae Hwy Lee and Ekaterina Seregina ()
Additional contact information
Ekaterina Seregina: Colby College

No 202302, Working Papers from University of California at Riverside, Department of Economics

Keywords: High-dimensionality; Portfolio optimization; Graphical Lasso; Approximate Factor Model (search for similar items in EconPapers)
JEL-codes: C13 C55 C58 (search for similar items in EconPapers)
Pages: 87 Pages
Date: 2023-03
New Economics Papers: this item is included in nep-des
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Citations: View citations in EconPapers (1)

Forthcoming in Journal of Financial Econometrics

Downloads: (external link)
https://economics.ucr.edu/repec/ucr/wpaper/202302.pdf First version, 2023 (application/pdf)

Related works:
Journal Article: Optimal Portfolio Using Factor Graphical Lasso* (2024)
Working Paper: Optimal Portfolio Using Factor Graphical Lasso (2023)
Working Paper: Optimal Portfolio Using Factor Graphical Lasso (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:ucr:wpaper:202302

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