Risks of large portfolios

Journal of Econometrics

Volumn 186, Issue 2, 2015, Pages 367-387

  Fan, Jianqing ^a,b,c   Liao, Yuan ^d   Shi, Xiaofeng ^a  

^a Princeton University   (United States)

^b CAPITAL UNIVERSITY OF ECONOMICS AND BUSINESS   (China)

^c PRINCETON UNIVERSITY   (United States)

^d UNIVERSITY OF MARYLAND   (United States)

Author keywords

Factor models; High dimensionality; Principal components; Sparse matrix; Volatility

Indexed keywords

RISK ASSESSMENT;

FACTOR MODEL; HIGH DIMENSIONALITY; PRINCIPAL COMPONENTS; SPARSE MATRICES; VOLATILITY;

RISK PERCEPTION;

EID: 84929265057     PISSN: 03044076     EISSN: 18726895     Source Type: Journal    
DOI: 10.1016/j.jeconom.2015.02.015     Document Type: Conference Paper

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