Newark, NJ 07102
New Jersey Institute of Technology
Set partitioning, eigenportfolio, super eigenportfolio, long-only portfolio
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exponential correlation model, Toeplitz matrix, eigende composition, principal component analysis, Karhunen–Loeve transform (KLT), eigen portfolios, market portfolio, minimum variance portfolio, exchange-traded fund (ETF); Sharpe ratio, market exposure, proﬁt and loss (P&L) curve.
Eigenportfolio, exponential correlation model, PNL, Sharpe Ratio
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