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Between Nonlinearities, Complexity, and Noises: An Application on Portfolio Selection Using Kernel Principal Component Analysis

This paper discusses the effects of introducing nonlinear interactions and noise-filtering to the covariance matrix used in Markowitz’s portfolio allocation model, evaluating the technique’s performances for daily data from seven financial markets between January 2000 and August 2018. We estimated t...

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Detalles Bibliográficos
Autores principales:	Peng, Yaohao, Albuquerque, Pedro Henrique Melo, do Nascimento, Igor Ferreira, Machado, João Victor Freitas
Formato:	Online Artículo Texto
Lenguaje:	English
Publicado:	MDPI 2019
Materias:	Article
Acceso en línea:	https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7514861/ https://www.ncbi.nlm.nih.gov/pubmed/33267090 http://dx.doi.org/10.3390/e21040376

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