Portfolio Allocation with Graphical Lasso
The Factor Graphical Lasso (FGL) framework, which combines graphical models with the factor structure, consistently estimates portfolio weights and risk exposure, and outperforms several key competitors in portfolio allocation.
Featured in No. 58 on 24 Jul 2024 · on release day
- Released
- 24 Jul 2024
- First featured
- No. 58 · 24 Jul 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 11
- Identifier
- RePEc:oup:jfinec:v:22:y:2024:i:3:p:670-695.
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